BUILDING THE THREE-GROUP CAUSAL PATH IN THE VAR MODEL
作者： Berlin Wu , Neng Fang Tseng
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摘要: To exhibit the leading/lagging relationship among groups in a VAR process, we construct three-group causal path (an extended Granger causality) as well an identication procedure for pathway which includes independent, intermediate and dependent groups. In addition, impose unidirectional restriction on pathway. Consequently, our method can organize more detailed practical structure dynamic system than conventional methods. The property concerning impulse response function is derived when causality occurs model. Finally, show that these techniques be easily implemented U.S. economic model consisting of stock return, ination
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