NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
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多元 ARMA 模型因果关系检验的充分必要条件
DOI：
10.1111/j.1467-9892.1981.tb00315.x
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发表时间：
1981
影响因子：
0.9
通讯作者：
Heejoon Kang
中科院分区：
文献类型：
--
作者：
Heejoon Kang
。给出了Granger因果关系的充要条件。条件是AR矩阵的某些元素和MA矩阵的某些元素的某些线性组合必须为零。它比文献中使用的条件限制更少，在该条件下，仅当AR矩阵中的某些元素以及MA矩阵中的某些元素本身为零时才是充分的。利用这一充要条件，建立了适当的简约参数检验方法。
. The necessary and sufficient conditions for Granger causality are provided. The condition is that some linear combinations of certain elements of AR matrix and certain elements of MA matrix must vanish. It is less restrictive than the condition heretofore utilized in the literature which is only sufficient in which certain elements in AR matrix as well as certain elements in MA matrix themselves are zero. A proper parsimonious parametric test procedure is also established by using the necessary and sufficient condition.