Measuring the Partial Causality in the Frequency Domain - Collections

＜technical report＞
Measuring the Partial Causality in the Frequency Domain

Creator	Creator Name Hosoya, Yuzo 細谷, 雄三ホソヤ, ユウゾウ Affiliation Affiliation Name Department of Economics, Meisei University 明星大学経済学部経済学科
Creator	Author PID K002710 Creator Name Takimoto, Taro 瀧本, 太郎タキモト, タロウ Affiliation Affiliation Name Faculty of Economics, Kyushu University 九州大学大学院経済学研究院経済工学部門
Language	English
Publisher	Faculty of Economics, Kyushu University
Publisher	九州大学大学院経済学研究院
Date	2012-12
Source Title	Faculty of Economics Discussion Paper
Publication Type	Accepted Manuscript
Access Rights	open access
Related DOI	Discussion Paper ; 2012-04
Related DOI	Discussion Paper \|\| 2012-04 \|\| p1-27
Related DOI	http://www.econ.kyushu-u.ac.jp/
Related URI	Discussion Paper \|\| 2012-04 \|\| p1-27
Related URI	http://www.econ.kyushu-u.ac.jp/
Relation	Discussion Paper ; 2012-04
	Discussion Paper \|\| 2012-04 \|\| p1-27
	http://www.econ.kyushu-u.ac.jp/
Abstract	The paper is about a statistical analysis aiming at quantitative characterization in the frequency domain the strength of partial causality of one series effecting on another in the presence of a thir...d series. The paper provides an estimation procedure of the proposed partial measures based on a direct factorization method of spectral densities and also proposes a Monte Carlo Wald tests for allied causal measures.show more

File	FileType	Size	Views	Description
DP2012-4	pdf	717 KB	338

Record ID	25574
Peer-Reviewed	Unrefereed
Subject Terms	Canonical factorization
	Granger non-causality
	Measure of one-way effect
	Measure of reciprocity
	Partial causality
	Prediction error
	Vector ARMA model
	Wald statistics
Notes	The research is partially supported by JSPS Grant-in-Aid for Scientific Research (C) 22530211and JSPS Grant-in-Aid for Young Scientists (B) 22730180, respectively.
Type	Discussion Paper
Created Date	2012.12.22
Modified Date	2023.11.28