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Extension of Granger Causality in Multivariate Time Series Models


This paper proposes an extension of Granger causality when more than two variables are used in a multivariate time series model, and it is necessary to consider more than one-period-ahead forecasts.

Keywords: Granger casuality, multivariate time series


Suggested citation: Bagshaw, Michael L., 1983. “Extension of Granger Causality in Multivariate Time Series Models,” Federal Reserve Bank of Cleveland, Working Paper no. 83-03.

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