tailieunhanh - Handbook of Econometrics Vols1-5 _ Chapter 19

Chapter 19 INFERENCE MODELS IN ECONOMIC Many econometricians are apt to be uncomfortable when thinking about the concept. Large sample distribution theory is the cornerstone of statistical inference for econometric models. The limiting distribution of a statistic gives approximate distributional results. | Chapter 19 INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES MODELS JOHN GEWEKE Duke University Contents 1. Introduction 1102 2. Causality 1103 3. Causal orderings and their implications 1108 . A canonical form for wide sense stationary multiple time series 1109 . The implications of unidirectional causality 1113 . Extensions 1115 4. Causality and exogeneity 1117 5. Inference 1122 . Alternative tests 1122 . Comparison of tests 1127 6. Some practical problems for further research 1133 . The parameterization problem and asymptotic distribution theory 1133 . Non-autoregressive processes 1135 . Deterministic processes 1138 . Non-stationary processes 1139 . Multivariate methods 1140 References 1142 Handbook of Econometrics Volume II Edited by Z. Griliches and . Intriligator Elsevier Science Publishers BV 1984 1102 J. Geveke 1. Introduction Many econometricians are apt to be uncomfortable when thinking about the concept causality in part because they usually do so under some duress . On the one hand the concept is a primitive notion which is indispensable when thinking about economic phenomena econometric models and the relation between the two. On the other the idea is notoriously difficult to formalize as casual reading in the philosophy of science will attest. In this chapter we shall be concerned with a particular formalization that has proved useful in empirical work hence the juxtaposition of causality and inference . It also bears close relation to notions of strictly exogenous and predetermined variables which have considerable operational significance in statistical inference and to the concepts of causal orderings and realizability which are important in model construction in econometrics and engineering respectively. Our concept of causality was introduced to economists by C. W. J. Granger Granger 1963 1969 who built on earlier work by Wiener 1956 . We shall refer to the concept as Wiener-Granger causality. It applies to .