Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/61567
題名: | Building the three-Group Causal Pathin the VAR Model | 作者: | 吳柏林 Wu,Berlin |
貢獻者: | 應數系 | 關鍵詞: | Vector autoregressive process (VAR) ; Granger causality ; Three-group causal path ; Impulse response analysis | 日期: | 2011 | 上傳時間: | 11-Nov-2013 | 摘要: | To exhibit the leading/lagging relationship among groups in a VAR process, we construct a three-group causal path (an extended Granger causality) as well as an identi cation procedure for the pathway which includes the independent, the intermediate and the dependent groups. In addition, we impose the unidirectional restriction on the pathway. Consequently, our method can organize more detailed and practical causal structure in a dynamic system than the conventional methods. The property concerning the impulse response function is derived when the three-group causality occurs in the VAR model. Finally, we show that these techniques can be easily implemented in the U.S. economic model consisting of the stock return, the inflation rate and the industrial production growth rate. | 關聯: | International Journal of Innovative Computing, Information and Control, 7(5) , 2563-2577 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
25632577.pdf | 368.06 kB | Adobe PDF2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.