Granger causality (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Granger causality" in English language version.

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22doi.org

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Hamilton, James D. (1994). Time Series Analysis (PDF). Princeton University Press. pp. 306–308. ISBN 0-691-04289-6.

archive.org

Lütkepohl, Helmut (2005). New introduction to multiple time series analysis (3 ed.). Berlin: Springer. pp. 41–51. ISBN 978-3540262398.

arxiv.org

Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.

colostate.edu

webdoc.agsci.colostate.edu

Thurman, Walter (1988). "Chickens, Eggs, and Causality or Which Came First?" (PDF). American Journal of Agricultural Economics. 70 (2): 237–238. doi:10.2307/1242062. JSTOR 1242062. Retrieved 2 April 2022.

doi.org

Granger, C. W. J. (1969). "Investigating Causal Relations by Econometric Models and Cross-spectral Methods". Econometrica. 37 (3): 424–438. doi:10.2307/1912791. JSTOR 1912791.
Leamer, Edward E. (1985). "Vector Autoregressions for Causal Inference?". Carnegie-Rochester Conference Series on Public Policy. 22: 283. doi:10.1016/0167-2231(85)90035-1.
Thurman, Walter (1988). "Chickens, Eggs, and Causality or Which Came First?" (PDF). American Journal of Agricultural Economics. 70 (2): 237–238. doi:10.2307/1242062. JSTOR 1242062. Retrieved 2 April 2022.
Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425. CiteSeerX 10.1.1.370.6488. doi:10.1257/0002828041464669. S2CID 154709108. Retrieved 12 June 2019.
Seth, Anil (2007). "Granger causality". Scholarpedia. 2 (7): 1667. Bibcode:2007SchpJ...2.1667S. doi:10.4249/scholarpedia.1667.
Granger, C.W.J. (1980). "Testing for causality: A personal viewpoint". Journal of Economic Dynamics and Control. 2: 329–352. doi:10.1016/0165-1889(80)90069-X.
Diks, Cees; Panchenko, Valentyn (2006). "A new statistic and practical guidelines for nonparametric Granger causality testing" (PDF). Journal of Economic Dynamics and Control. 30 (9): 1647–1669. doi:10.1016/j.jedc.2005.08.008.
Francis, Bill B.; Mougoue, Mbodja; Panchenko, Valentyn (2010). "Is there a Symmetric Nonlinear Causal Relationship between Large and Small Firms?" (PDF). Journal of Empirical Finance. 17 (1): 23–28. doi:10.1016/j.jempfin.2009.08.003.
Mannino, Michael; Bressler, Steven L (2015). "Foundational perspectives on causality in large-scale brain networks". Physics of Life Reviews. 15: 107–23. Bibcode:2015PhLRv..15..107M. doi:10.1016/j.plrev.2015.09.002. PMID 26429630.
Grassmann, Greta (2020). "New considerations on the validity of the Wiener-Granger causality test". Heliyon. 6 (10): e05208. Bibcode:2020Heliy...605208G. doi:10.1016/j.heliyon.2020.e05208. PMC 7578691. PMID 33102842.
Hacker, R. Scott; Hatemi-j, A. (2006). "Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application". Applied Economics. 38 (13): 1489–1500. doi:10.1080/00036840500405763. S2CID 121999615.
Mandelbrot, Benoit (1963). "The Variation of Certain Speculative Prices". The Journal of Business. 36 (4): 394–419. doi:10.1086/294632.
Hatemi-j, A. (2012). "Asymmetric causality tests with an application". Empirical Economics. 43: 447–456. doi:10.1007/s00181-011-0484-x. S2CID 153562476.
Dumitrescu, E.-I.; Hurlin, C. (2012). "Testing for Granger non-causality in heterogeneous panels". Economic Modelling. 29 (4): 1450–1460. CiteSeerX 10.1.1.395.568. doi:10.1016/j.econmod.2012.02.014. S2CID 9227921.
Chen, Cathy W. S.; Hsieh, Ying-Hen; Su, Hung-Chieh; Wu, Jia Jing (2018-02-01). "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity". Environment International. 111: 354–361. Bibcode:2018EnInt.111..354C. doi:10.1016/j.envint.2017.10.011. ISSN 0160-4120. PMID 29173968.
Chen, Cathy W. S.; Lee, Sangyeol (2017). "Bayesian causality test for integer-valued time series models with applications to climate and crime data". Journal of the Royal Statistical Society, Series C (Applied Statistics). 66 (4): 797–814. doi:10.1111/rssc.12200. hdl:10.1111/rssc.12200. ISSN 1467-9876. S2CID 125296454.
Baum, Christopher F.; Hurn, Stan; Otero, Jesús (2022-06-30). "Testing for time-varying Granger causality". The Stata Journal: Promoting Communications on Statistics and Stata. 22 (2): 355–378. doi:10.1177/1536867X221106403. ISSN 1536-867X. S2CID 250221497.
Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.
Ante, Lennart; Saggu, Aman (2024-01-04). "Time-Varying Bidirectional Causal Relationships between Transaction Fees and Economic Activity of Subsystems Utilizing the Ethereum Blockchain Network". Journal of Risk and Financial Management. 17 (1): 19. doi:10.3390/jrfm17010019. ISSN 1911-8074.
Knight, R. T (2007). "Neuroscience: Neural Networks Debunk Phrenology". Science. 316 (5831): 1578–9. doi:10.1126/science.1144677. PMID 17569852. S2CID 15065228.
Kim, Sanggyun; Putrino, David; Ghosh, Soumya; Brown, Emery N (2011). "A Granger Causality Measure for Point Process Models of Ensemble Neural Spiking Activity". PLOS Computational Biology. 7 (3): e1001110. Bibcode:2011PLSCB...7E1110K. doi:10.1371/journal.pcbi.1001110. PMC 3063721. PMID 21455283.
Bressler, Steven L; Seth, Anil K (2011). "Wiener–Granger Causality: A well established methodology". NeuroImage. 58 (2): 323–9. doi:10.1016/j.neuroimage.2010.02.059. PMID 20202481. S2CID 36616970.

handle.net

hdl.handle.net

Chen, Cathy W. S.; Lee, Sangyeol (2017). "Bayesian causality test for integer-valued time series models with applications to climate and crime data". Journal of the Royal Statistical Society, Series C (Applied Statistics). 66 (4): 797–814. doi:10.1111/rssc.12200. hdl:10.1111/rssc.12200. ISSN 1467-9876. S2CID 125296454.

harvard.edu

ui.adsabs.harvard.edu

Seth, Anil (2007). "Granger causality". Scholarpedia. 2 (7): 1667. Bibcode:2007SchpJ...2.1667S. doi:10.4249/scholarpedia.1667.
Mannino, Michael; Bressler, Steven L (2015). "Foundational perspectives on causality in large-scale brain networks". Physics of Life Reviews. 15: 107–23. Bibcode:2015PhLRv..15..107M. doi:10.1016/j.plrev.2015.09.002. PMID 26429630.
Grassmann, Greta (2020). "New considerations on the validity of the Wiener-Granger causality test". Heliyon. 6 (10): e05208. Bibcode:2020Heliy...605208G. doi:10.1016/j.heliyon.2020.e05208. PMC 7578691. PMID 33102842.
Chen, Cathy W. S.; Hsieh, Ying-Hen; Su, Hung-Chieh; Wu, Jia Jing (2018-02-01). "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity". Environment International. 111: 354–361. Bibcode:2018EnInt.111..354C. doi:10.1016/j.envint.2017.10.011. ISSN 0160-4120. PMID 29173968.
Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.
Kim, Sanggyun; Putrino, David; Ghosh, Soumya; Brown, Emery N (2011). "A Granger Causality Measure for Point Process Models of Ensemble Neural Spiking Activity". PLOS Computational Biology. 7 (3): e1001110. Bibcode:2011PLSCB...7E1110K. doi:10.1371/journal.pcbi.1001110. PMC 3063721. PMID 21455283.

jstor.org

Granger, C. W. J. (1969). "Investigating Causal Relations by Econometric Models and Cross-spectral Methods". Econometrica. 37 (3): 424–438. doi:10.2307/1912791. JSTOR 1912791.
Thurman, Walter (1988). "Chickens, Eggs, and Causality or Which Came First?" (PDF). American Journal of Agricultural Economics. 70 (2): 237–238. doi:10.2307/1242062. JSTOR 1242062. Retrieved 2 April 2022.

nih.gov

pubmed.ncbi.nlm.nih.gov

Mannino, Michael; Bressler, Steven L (2015). "Foundational perspectives on causality in large-scale brain networks". Physics of Life Reviews. 15: 107–23. Bibcode:2015PhLRv..15..107M. doi:10.1016/j.plrev.2015.09.002. PMID 26429630.
Grassmann, Greta (2020). "New considerations on the validity of the Wiener-Granger causality test". Heliyon. 6 (10): e05208. Bibcode:2020Heliy...605208G. doi:10.1016/j.heliyon.2020.e05208. PMC 7578691. PMID 33102842.
Chen, Cathy W. S.; Hsieh, Ying-Hen; Su, Hung-Chieh; Wu, Jia Jing (2018-02-01). "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity". Environment International. 111: 354–361. Bibcode:2018EnInt.111..354C. doi:10.1016/j.envint.2017.10.011. ISSN 0160-4120. PMID 29173968.
Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.
Knight, R. T (2007). "Neuroscience: Neural Networks Debunk Phrenology". Science. 316 (5831): 1578–9. doi:10.1126/science.1144677. PMID 17569852. S2CID 15065228.
Kim, Sanggyun; Putrino, David; Ghosh, Soumya; Brown, Emery N (2011). "A Granger Causality Measure for Point Process Models of Ensemble Neural Spiking Activity". PLOS Computational Biology. 7 (3): e1001110. Bibcode:2011PLSCB...7E1110K. doi:10.1371/journal.pcbi.1001110. PMC 3063721. PMID 21455283.
Bressler, Steven L; Seth, Anil K (2011). "Wiener–Granger Causality: A well established methodology". NeuroImage. 58 (2): 323–9. doi:10.1016/j.neuroimage.2010.02.059. PMID 20202481. S2CID 36616970.

ncbi.nlm.nih.gov

Grassmann, Greta (2020). "New considerations on the validity of the Wiener-Granger causality test". Heliyon. 6 (10): e05208. Bibcode:2020Heliy...605208G. doi:10.1016/j.heliyon.2020.e05208. PMC 7578691. PMID 33102842.
Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.
Kim, Sanggyun; Putrino, David; Ghosh, Soumya; Brown, Emery N (2011). "A Granger Causality Measure for Point Process Models of Ensemble Neural Spiking Activity". PLOS Computational Biology. 7 (3): e1001110. Bibcode:2011PLSCB...7E1110K. doi:10.1371/journal.pcbi.1001110. PMC 3063721. PMID 21455283.

nobelprize.org

Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425. CiteSeerX 10.1.1.370.6488. doi:10.1257/0002828041464669. S2CID 154709108. Retrieved 12 June 2019.

psu.edu

citeseerx.ist.psu.edu

Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425. CiteSeerX 10.1.1.370.6488. doi:10.1257/0002828041464669. S2CID 154709108. Retrieved 12 June 2019.
Dumitrescu, E.-I.; Hurlin, C. (2012). "Testing for Granger non-causality in heterogeneous panels". Economic Modelling. 29 (4): 1450–1460. CiteSeerX 10.1.1.395.568. doi:10.1016/j.econmod.2012.02.014. S2CID 9227921.

repec.org

ideas.repec.org

Hacker, R. Scott; Hatemi-j, A. (2006). "Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application". Applied Economics. 38 (13): 1489–1500. doi:10.1080/00036840500405763. S2CID 121999615.
Hatemi-j, A. (2012). "Asymmetric causality tests with an application". Empirical Economics. 43: 447–456. doi:10.1007/s00181-011-0484-x. S2CID 153562476.

sagepub.com

journals.sagepub.com

Baum, Christopher F.; Hurn, Stan; Otero, Jesús (2022-06-30). "Testing for time-varying Granger causality". The Stata Journal: Promoting Communications on Statistics and Stata. 22 (2): 355–378. doi:10.1177/1536867X221106403. ISSN 1536-867X. S2CID 250221497.

sciencedirect.com

Chen, Cathy W. S.; Hsieh, Ying-Hen; Su, Hung-Chieh; Wu, Jia Jing (2018-02-01). "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity". Environment International. 111: 354–361. Bibcode:2018EnInt.111..354C. doi:10.1016/j.envint.2017.10.011. ISSN 0160-4120. PMID 29173968.

semanticscholar.org

api.semanticscholar.org

Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425. CiteSeerX 10.1.1.370.6488. doi:10.1257/0002828041464669. S2CID 154709108. Retrieved 12 June 2019.
Hacker, R. Scott; Hatemi-j, A. (2006). "Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application". Applied Economics. 38 (13): 1489–1500. doi:10.1080/00036840500405763. S2CID 121999615.
Hatemi-j, A. (2012). "Asymmetric causality tests with an application". Empirical Economics. 43: 447–456. doi:10.1007/s00181-011-0484-x. S2CID 153562476.
Dumitrescu, E.-I.; Hurlin, C. (2012). "Testing for Granger non-causality in heterogeneous panels". Economic Modelling. 29 (4): 1450–1460. CiteSeerX 10.1.1.395.568. doi:10.1016/j.econmod.2012.02.014. S2CID 9227921.
Chen, Cathy W. S.; Lee, Sangyeol (2017). "Bayesian causality test for integer-valued time series models with applications to climate and crime data". Journal of the Royal Statistical Society, Series C (Applied Statistics). 66 (4): 797–814. doi:10.1111/rssc.12200. hdl:10.1111/rssc.12200. ISSN 1467-9876. S2CID 125296454.
Baum, Christopher F.; Hurn, Stan; Otero, Jesús (2022-06-30). "Testing for time-varying Granger causality". The Stata Journal: Promoting Communications on Statistics and Stata. 22 (2): 355–378. doi:10.1177/1536867X221106403. ISSN 1536-867X. S2CID 250221497.
Knight, R. T (2007). "Neuroscience: Neural Networks Debunk Phrenology". Science. 316 (5831): 1578–9. doi:10.1126/science.1144677. PMID 17569852. S2CID 15065228.
Bressler, Steven L; Seth, Anil K (2011). "Wiener–Granger Causality: A well established methodology". NeuroImage. 58 (2): 323–9. doi:10.1016/j.neuroimage.2010.02.059. PMID 20202481. S2CID 36616970.

srce.hr

hrcak.srce.hr

Mariusz, Maziarz (2015-05-20). "A review of the Granger-causality fallacy". The Journal of Philosophical Economics. VIII. (2). ISSN 1843-2298.

unimaas.nl

researchers-sbe.unimaas.nl

Eichler, Michael (2012). "Causal Inference in Time Series Analysis" (PDF). In Berzuini, Carlo (ed.). Causality : statistical perspectives and applications (3rd ed.). Hoboken, N.J.: Wiley. pp. 327–352. ISBN 978-0470665565.

unsw.edu.au

research.economics.unsw.edu.au

Diks, Cees; Panchenko, Valentyn (2006). "A new statistic and practical guidelines for nonparametric Granger causality testing" (PDF). Journal of Economic Dynamics and Control. 30 (9): 1647–1669. doi:10.1016/j.jedc.2005.08.008.
Francis, Bill B.; Mougoue, Mbodja; Panchenko, Valentyn (2010). "Is there a Symmetric Nonlinear Causal Relationship between Large and Small Firms?" (PDF). Journal of Empirical Finance. 17 (1): 23–28. doi:10.1016/j.jempfin.2009.08.003.

upenn.edu

sas.upenn.edu

Diebold, Francis X. (2007). Elements of Forecasting (PDF) (4th ed.). Thomson South-Western. pp. 230–231. ISBN 978-0324359046.

worldcat.org

search.worldcat.org

Mariusz, Maziarz (2015-05-20). "A review of the Granger-causality fallacy". The Journal of Philosophical Economics. VIII. (2). ISSN 1843-2298.
Chen, Cathy W. S.; Hsieh, Ying-Hen; Su, Hung-Chieh; Wu, Jia Jing (2018-02-01). "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity". Environment International. 111: 354–361. Bibcode:2018EnInt.111..354C. doi:10.1016/j.envint.2017.10.011. ISSN 0160-4120. PMID 29173968.
Chen, Cathy W. S.; Lee, Sangyeol (2017). "Bayesian causality test for integer-valued time series models with applications to climate and crime data". Journal of the Royal Statistical Society, Series C (Applied Statistics). 66 (4): 797–814. doi:10.1111/rssc.12200. hdl:10.1111/rssc.12200. ISSN 1467-9876. S2CID 125296454.
Baum, Christopher F.; Hurn, Stan; Otero, Jesús (2022-06-30). "Testing for time-varying Granger causality". The Stata Journal: Promoting Communications on Statistics and Stata. 22 (2): 355–378. doi:10.1177/1536867X221106403. ISSN 1536-867X. S2CID 250221497.
Shojaie, Ali; Fox, Emily B. (2022-03-07). "Granger Causality: A Review and Recent Advances". Annual Review of Statistics and Its Application. 9 (1): 289–319. arXiv:2105.02675. Bibcode:2022AnRSA...9..289S. doi:10.1146/annurev-statistics-040120-010930. ISSN 2326-8298. PMC 10571505. PMID 37840549.
Ante, Lennart; Saggu, Aman (2024-01-04). "Time-Varying Bidirectional Causal Relationships between Transaction Fees and Economic Activity of Subsystems Utilizing the Ethereum Blockchain Network". Journal of Risk and Financial Management. 17 (1): 19. doi:10.3390/jrfm17010019. ISSN 1911-8074.