Re: [Gretl-users] Granger causality test in Gretl
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.
Typically I'd say the need for lagged values of the LHS variable is
called persistence (or anti-persistence), not "own causality".
thanks,
sven