BRUNEAU, Catherine; NICOLAI, Jean-Paul - In: Annales d'Economie et de Statistique (1994) 36, pp. 1-22
In this paper, we study the unidirectional causal links between two series in a multivariate autoregressive stationary framework. We emphasize that the usual characterization of the unidirectional Granger causality, which is based on the prediction improvement oneperiod ahead, is not sufficient...