Statements (31)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical hypothesis test
|
| gptkbp:application |
climate science
economics engineering finance neuroscience |
| gptkbp:assumes |
linear relationships
stationary time series |
| gptkbp:field |
statistics
time series analysis econometrics |
| gptkbp:generalizes |
conditional Granger causality
multivariate Granger causality nonlinear Granger causality |
| https://www.w3.org/2000/01/rdf-schema#label |
Granger causality
|
| gptkbp:introducedIn |
1969
|
| gptkbp:limitation |
does not imply true causality
requires sufficient data points sensitive to omitted variables |
| gptkbp:namedAfter |
gptkb:Clive_Granger
|
| gptkbp:relatedConcept |
causality
F-test forecasting vector autoregression stationarity lagged variables |
| gptkbp:statistic |
F-statistic
|
| gptkbp:type |
regression-based test
|
| gptkbp:usedFor |
testing whether one time series can predict another
|
| gptkbp:bfsParent |
gptkb:Clive_Granger
|
| gptkbp:bfsLayer |
5
|