Some recent development in a concept of causality

doi:10.1016/0304-4076(88)90045-0

Journal of Econometrics

Volume 39, Issues 1–2, September–October 1988, Pages 199-211

https://doi.org/10.1016/0304-4076(88)90045-0 Get rights and content

Abstract

The paper considers three separate but related topics. (i) What is the relationship between causation and co-integration? If a pair of I(1) series are co-integration, there must be causation in at least one direction. An implication is that some tests of causation based on different series may have missed one source of causation. (ii) Is there a need for a definition of ‘instantaneous causation’ in a decision science? It is argued that no such definition is required. (iii) Can causality tests be used for policy evaluation? It is suggested that these tests are useful, but that they should be evaluated with care.

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Some recent development in a concept of causality

Abstract

Information and Control

Journal of Economic Dynamics and Control

Journal of Econometrics

Time series analysis, forecasting and control

Granger-causality and policy effectiveness

Economica

Measurement of linear dependence and feedback between time series

Journal of the American Statistical Association

Inference and causality in economic time series models

Exogeneity

Econometrica

Investigating causal relations by econometric models and cross-spectral methods

Econometrica

Co-integrated variables and error-correcting models

Comment on Holland

Developments in the study of co-integrated economic variables

Oxford Bulletin of Economics and Statistics