Abstract
There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and feedback are proposed and illustrated by use of simple two-variable models. The important problem of apparent instantaneous causality is discussed and it is suggested that the problem often arises due to slowness in recording information or because a sufficiently wide class of possible causal variables has not been used. It can be shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation. Measures of causal lag and causal strength can then be constructed. A generalisation of this result with the partial cross spectrum is suggested.
Keywords
EconometricsEconomicsEconometric modelCausal modelMathematical economicsMathematicsStatistics
Affiliated Institutions
Related Publications
Econometric Analysis of Cross Section and Panel Data
The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. B...
Limited-dependent and qualitative variables in econometrics
This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or trunc...
Establishing rigour in qualitative research: the decision trail
The aim of this paper is to show the way in which the decision trail of a qualitative research process can be maintained. It is argued that the trustworthiness (rigour) of a stu...
Models with latent variables: LISREL versus PLS
Summary: LISREL and PLS are two different ways of modelling latent variables and their relations to each other within a set of manifest variables. These two models are contraste...
How Much Should We Trust Differences-In-Differences Estimates?
Most papers that employ Differences-in-Differences estimation (DD) use many years of data and focus on serially correlated outcomes but ignore that the resulting standard errors...
Publication Info
- Year
- 1969
- Type
- article
- Volume
- 37
- Issue
- 3
- Pages
- 424-424
- Citations
- 22126
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
22126
OpenAlex
Cite This
Clive W. J. Granger
(1969).
Investigating Causal Relations by Econometric Models and Cross-spectral Methods.
Econometrica
, 37
(3)
, 424-424.
https://doi.org/10.2307/1912791
Identifiers
- DOI
- 10.2307/1912791