Elimination of Third‐series Effect and Defining Partial Measures of Causality

• 1 September 2001
• journal article
• Published by Wiley in Journal of Time Series Analysis
• Vol. 22  (5) , 537-554
• https://doi.org/10.1111/1467-9892.00240

Abstract

Keywords

• GRANGER CAUSALITY
• SPECTRAL DENSITY
• LINEAR PREDICTION
• STATIONARY PROCESS
• COINTEGRATED PROCESS