causality

  1. J

    Garch problem

    Hello everyone, I'm working with a set of time series, and I need to estimate their causality in volatility/variance. Do you know what is the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH, and how to run it?
  2. E

    The causality function, Kakutani's fixed-point theorem, and an event causing itself

    When we attempt to define a causality function, that projects any past event unto the collection ("set") of its causing events, in my impression, a reasonable definition of such causality function, will satisfy Kakutani's fixed-point theorem, and therefore project at least one event unto itself...
  3. T

    Please help... reall in a bind! (granger causality test)

    I have run a Granger causality test on two time series but im not sure based on the output whether or not to reject the null hypothesis. Below is the stata output. Any help would be greatly appreciated as im absolutely stumped! H0: sse does not Granger-cause dax F( 4, 458) =...
  4. T

    Granger Causality test help Please!!!

    I am trying to see if the chinese stock market has a causality relationship with the US french German and UK markets. Does anyone know how to run this test using matlab (or any simular program). I am more experienced with excel and have never really used the program. Any help will be greatly...
  5. T

    Correlation does not imply causality question

    Hello, Could someone please explain to me why a significant linear correlation does not imply causality? I understand that there are lurking variables, but unsure as to how this relates to a significant linear correlation. Thanks in advance for any help!