The purpose of this paper is to analyze in bivariate vector autoregression the relationship between feedback in stochastic systems, Granger causality and a measure of dissimilarity between ARMA models. In particular, we consider a bivariate vector autoregressive processes of order p (a bivariate VAR(p) process) and we prove if the distance between the univariate ARMA models implied by the VAR representation is greater than a certain number that is a function of p, then Granger causality must exist in at least one direction in the variables.

Feedback, causality and distance between arma models

TRIACCA, UMBERTO
2004-01-01

Abstract

The purpose of this paper is to analyze in bivariate vector autoregression the relationship between feedback in stochastic systems, Granger causality and a measure of dissimilarity between ARMA models. In particular, we consider a bivariate vector autoregressive processes of order p (a bivariate VAR(p) process) and we prove if the distance between the univariate ARMA models implied by the VAR representation is greater than a certain number that is a function of p, then Granger causality must exist in at least one direction in the variables.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/6411
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