Granger Causal Priority and Choice of Variables in Vector Autoregressions
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DOI: 10.1162/rest_a_00601
Abstract: Abstract We derive a closed-form expression for the posterior probability of Granger noncausality in a gaussian vector autoregression with a conjugate prior. We also express in closed form the posterior probability of Granger causal priority,… read more here.
Keywords: choice variables; variables vector; priority choice; causal priority ... See more keywords