Article contents
The ‘derived’ moving-average model and its role in causality
Published online by Cambridge University Press: 14 July 2016
Abstract
In the situations where restrictions on the multivariate subset AR model are known, we propose methods of providing suitable standard errors of estimate and prediction which assist in assessing the importance of the coefficients appearing the ‘derived' moving-average (MA) model. The coefficient patterns of the derived moving-average model are proposed as an alternative basis for detecting Granger-causality.
Keywords
- Type
- Part 2—Estimation for Time Series
- Information
- Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 99 - 111
- Copyright
- Copyright © 1986 Applied Probability Trust
References
- 3
- Cited by