what is the difference between short-run causality and long-run causality?
when do we apply these two causalities and what are the usuall applied tests for these two types of causality?
What does Granger Causality indicate? whether it indicates long run or short run causality.
Hello,
You might want to consider the talks from this conference on time and causality http://tacits.stevens.edu
Best,
Viorel
Bonjour
Voir "Dufour, J.M. et Renault, E., «Causalités à court et à long terme dans les modèles VAR et ARIMA multivariés.», Cahier de recherche #9324, Département de sciences économiques, Université de Montréal, 1993, 67 pages."
Bon travail
Short run causality is based on joint significance of first difference variable in the vector error correction equation using wald test you can calculate Granger causality Long run is about significance of error correction term that equation. If you have two variable then you will two equation for each variable in the model. Granger causality is more about short run. long run causality depends upon significance of long run relationship and will be tested through laged error correction term which is derived from long run equilibrium relationship.
While short-run causality indicates short run causal relationship between the variables, long-run causality indicates long-run causal relationship between the variables.
Granger Causality is used for ascertaining short-run causality. While for long-run causality, one can use VAR / VECM.
in the sense of granger, a variable xt causes a variable yt if the past values of x (t-1, t-2, ...., t-p) help to improve the prediction of y. since we are talking about the lag length p, it is about long term.
Short-run causality shows short run causal relationship between the variables while Long-run causality indicates long-run causal relationship between the variables.
short-run causality indicates short run causal relationship between the variables, long-run causality indicates long-run causal relationship between the variables.
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