Different Modelling Strategies on Multiple Relationships

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI:

Series: Advanced Texts in Econometrics

 Different Modelling Strategies on Multiple Relationships

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This chapter compares two modelling strategies. One starts with vector autoregressive process modelling with as few economic theories as possible. The other fully incorporates economic theories into the models. It introduces basic concepts on the multiple economic time series such as Granger causality and weak exogeneity.

Keywords: vector autoregressive process; econometrics; multiple time series; Granger causality; weak exogeneity

Chapter.  9875 words. 

Subjects: Econometrics and Mathematical Economics

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