The article highlights the existing links between the problem of econometric identification and the causality: The cross-correlation function does not characterize the instantaneous causality, consequently it can be used as a test for the exogeneity of a process only in special cases. The article also clarifies the sense of spectral decomposition, with respect to the definition of Granger causality, in the light of the Sims' theorems.
Identificazione, Causalità ed Esogeneità: alcune osservazioni critiche
SARTORE, Domenico
1983-01-01
Abstract
The article highlights the existing links between the problem of econometric identification and the causality: The cross-correlation function does not characterize the instantaneous causality, consequently it can be used as a test for the exogeneity of a process only in special cases. The article also clarifies the sense of spectral decomposition, with respect to the definition of Granger causality, in the light of the Sims' theorems.
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