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The ‘derived’ moving-average model and its role in causality
J. H. W. Penm, R. D. Terrell
Journal:

Journal of Applied Probability / Volume 23 / Issue A / 1986

Published online by Cambridge University Press:

14 July 2016, pp. 99-111

Print publication:

1986
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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.

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The ‘derived’ moving-average model and its role in causality