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A Test for Granger-sausality in a multivariate ARMA model |
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| Authors: | Prof R W Eberts Prof B M Steece |
| Institution: | 1. University of Oregon, 97403, Eugene, OR, USA 2. Dept. of Decision Systems, School of Business Administration, University of Southern California, 90089-1421, University Park, Los Angeles, CA, USA |
| Abstract: | The objective of this paper is to present a parametric test of Granger causality in a multivariate ARMA model. We derive the necessary and sufficient condition for Granger causality. We then relate our method to previous studies by examining Sims' nominal income and money data. |
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