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The ‘derived’ moving-average model and its role in causality

Published online by Cambridge University Press:  14 July 2016

J. H. W. Penm  and
R. D. Terrell
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Abstract

In the situations where restrictions on the multivariate subset AR model are known, we propose methods of providing suitable standard errors of estimate and prediction which assist in assessing the importance of the coefficients appearing the ‘derived' moving-average (MA) model. The coefficient patterns of the derived moving-average model are proposed as an alternative basis for detecting Granger-causality.

Keywords

GRANGER-CAUSALITYSUBSET AUTOREGRESSIONRESTRICTED SUBSET AUTOREGRESSION‘DERIVED'MOVING-AVERAGE REPRESENTATIONASYMPTOTIC STANDARD ERROR OF ESTIMATE
Type
Part 2—Estimation for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 99 - 111
Copyright
Copyright © 1986 Applied Probability Trust 

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