Book contents
- Frontmatter
- Contents
- Acknowledgments
- List of Contributors
- Introduction
- PART ONE CAUSALITY
- 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
- 2 Testing for Causality: A Personal Viewpoint
- 3 Some Recent Developments in a Concept of Causality
- 4 Advertising and Aggregate Consumption: An Analysis of Causality
- PART TWO INTEGRATION AND COINTEGRATION
- PART THREE LONG MEMORY
- Index
1 - Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
Published online by Cambridge University Press: 06 July 2010
- Frontmatter
- Contents
- Acknowledgments
- List of Contributors
- Introduction
- PART ONE CAUSALITY
- 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
- 2 Testing for Causality: A Personal Viewpoint
- 3 Some Recent Developments in a Concept of Causality
- 4 Advertising and Aggregate Consumption: An Analysis of Causality
- PART TWO INTEGRATION AND COINTEGRATION
- PART THREE LONG MEMORY
- Index
Summary
There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and feedback are proposed and illustrated by use of simple two-variable models. The important problem of apparent instantaneous causality is discussed and it is suggested that the problem often arises due to slowness in recording information or because a sufficiently wide class of possible causal variables has not been used. It can be shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation. Measures of causal lag and causal strength can then be constructed. A generalization of this result with the partial cross spectrum is suggested.
The object of this paper is to throw light on the relationships between certain classes of econometric models involving feedback and the functions arising in spectral analysis, particularly the cross spectrum and the partial cross spectrum. Causality and feedback are here defined in an explicit and testable fashion. It is shown that in the two-variable case the feedback mechanism can be broken down into two causal relations and that the cross spectrum can be considered as the sum of two cross spectra, each closely connected with one of the causations. The next three sections of the paper briefly introduce those aspects of spectral methods, model building, and causality which are required later.
- Type
- Chapter
- Information
- Essays in EconometricsCollected Papers of Clive W. J. Granger, pp. 31 - 47Publisher: Cambridge University PressPrint publication year: 2001
- 15
- Cited by