A Better Understanding of Granger Causality Analysis: A Big Data Environment

Song, XJ; Taamouti, A

Song, XJ (reprint author), Peking Univ, Dept Business Stat & Econometr, Guanghua Sch Management, Beijing 100871, Peoples R China.; Song, XJ (reprint author), Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China.

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2019; 81 (4): 911

Abstract

This paper aims to provide a better understanding of the causal structure in a multivariate time series by introducing several statistical procedures ......

Full Text Link