Investigating Causal Relations by Econometric Models and Cross-spectral Methods¶
Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
Cited by¶
7 citations across 7 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Foreseeing (Prediction)
- Listed in the references but not attached to a specific claim.
- Recurrence
- Stationarity
- Listed in the references but not attached to a specific claim.
- Temporal Dynamics
Mechanisms¶
- Lag-Correlation Matrix
- And a lead in time is not a cause: reading "X leads Y" as "X causes Y" is the classic misuse — the very confusion that Granger causality was formulated to test more carefully, and even that is a test of predictive precedence, not proof.
This sourceFormulates causality operationally through whether one time series improves prediction of another, while distinguishing that predictive ordering from causal proof.
- And a lead in time is not a cause: reading "X leads Y" as "X causes Y" is the classic misuse — the very confusion that Granger causality was formulated to test more carefully, and even that is a test of predictive precedence, not proof.
- Lagged Indicator Analysis
- Two series can align at a lag through a shared confounder, a common trend, or sheer luck, and temporal precedence alone cannot establish coupling — even a passed Granger-causality
This sourceDefines Granger causality by past-value predictive improvement and shows that omitted common drivers can create a spurious apparent relation.
- Two series can align at a lag through a shared confounder, a common trend, or sheer luck, and temporal precedence alone cannot establish coupling — even a passed Granger-causality
- Lagged Panel Regression
- … cannot by itself tell a genuine delayed effect from reverse causation running the other way — an outcome that shapes future exposure produces the same lagged correlation — which is why leads must be tested, in the spirit of Granger's caution that temporal precedence is necessary but never sufficient for cause.
This sourceDefines directional and feedback tests using each series’ past, with temporal precedence required but predictive contribution beyond precedence also necessary.
- … cannot by itself tell a genuine delayed effect from reverse causation running the other way — an outcome that shapes future exposure produces the same lagged correlation — which is why leads must be tested, in the spirit of Granger's caution that temporal precedence is necessary but never sufficient for cause.
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