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- W2158031960 abstract "This article derives necessary and sufficient conditions for noncausality between two vectors of variables in stationary invertible ARMA processes. Earlier conditions proposed by Boudjellaba, Dufour, and Roy (1992a) are shown to hold under weaker regularity assumptions and then generalized to cover the important case where the two vectors do not necessarily embody all the variables considered in the analysis. The conditions so obtained can be considerably simpler and easier to implement than earlier ones. Testing of the conditions derived is also discussed and the results are applied to a model of Canadian money, income, and interest rates." @default.
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- W2158031960 date "1994-07-01" @default.
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- W2158031960 title "Simplified conditions for noncausality between vectors in multivariate ARMA models" @default.
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- W2158031960 doi "https://doi.org/10.1016/0304-4076(93)01568-7" @default.
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