著者

MASANORI BERNARD OKAMOTO MITSUHIRO ODAKI

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.3, pp.193-204, 1990-09-20 (Released:2007-10-19)

参考文献数

22

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An extended version of Sims' noncausality is presented on partitioned subvectors of multiple time series. It is shown that this is not equivalent to “generalized” Granger's noncausality in multiple time series. The necessary and sufficient condition for both Granger's instantaneous noncausality and the extended version of Sims' noncausality to be held is that block matrices of the MA representation are zero. A statistic for testing noncausality is given and its asymptotic distribution is chi-square distribution with the degree of freedom of the numbers of components of a subvector. An expression of relative power contribution in multiple time series is introduced in view of noncausality test.