Non-causality: The role of the omitted variables |
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| Authors: | Umberto Triacca |
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| Institution: | Istituto Nazionale di Statistica (ISTAT), via Cesare Balbo 16, 00184 Roma, Italy |
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| Abstract: | In this paper a proof is offered that if a variable Y3 does not cause a variable Y1 in the bivariate system (Y1, Y3) and Y3 causes a variable Y1 in higher-order system (Y1, Y2, Y3), then the omitted variable Y2 must cause the variable Y1 in the bivariate system (Y1, Y2) and in the trivariate system (Y1, Y2, Y3). |
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| Keywords: | Granger causality Omitted variables Time series |
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