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Working Paper

Extension of Granger Causality in Multivariate Time Series Models

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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.
08.01.1983ISSN 2573-7953 WP 83-03
Keywords granger casuality, multivariate time series

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

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.