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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.
08.01.1983WP 83-03
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.