On Thu, 3 Mar 2016, Sven Schreiber wrote:
Am 03.03.2016 um 11:26 schrieb Riccardo (Jack) Lucchetti:
> On Thu, 3 Mar 2016, Sven Schreiber wrote:
>
>> Of course, just 2 of the 4 are really Granger causality tests...
>
> At the risk of being pedantic: it's perfectly possible for a variable to
> be Granger-noncausal for itself, so I would say those are 4 legit GC tests.
>
I have never seen or heard anyone advocate such a definition, so please give
references.
You heard me :)
If you take the standard definition of GC from x to y, I don't see why one
should implicitly rule out the case x = y.
Typically I'd say the need for lagged values of the LHS variable
is called
persistence (or anti-persistence), not "own causality".
A pet peeve of mine has been (for many years), that what we call Granger
Causality is neither Granger's, nor causality. It should be called
"predictive power". But maybe it's just me.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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