GRANGER-NEDENSELLİK SINAMALARINA YENİ YAKLAŞIMLAR

36580

This study analyses two new approaches to Granger-causality on conceptual grounds. First, the views on the short-run and the long-run causality, on which there is no unity on the definition in the literature, are investigated. One approach is based on error correction models while another approach takes the prediction horizon as the basis. Secondly, we survey the literature on the notion of causality-in-variance. Granger-causality tests are traditionally conducted in means. However, causality-in-variance becomes especially relevant in high frequency data. We conclude with an evaluation of these approaches to Granger-causality and their link to the notion of causality in philosophy of science.

137

Granger , causality , Time series , GARCH , Philosophy of science

Journal Of Economics and Administrative Sciences, Ataturk University

153

Journal Of Economics and Administrative Sciences, Ataturk University