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首页> 外文期刊>International Journal of Innovative Computing Information and Control >BUILDING THE THREE-GROUP CAUSAL PATH IN THE VAR MODEL
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BUILDING THE THREE-GROUP CAUSAL PATH IN THE VAR MODEL

机译：在VAR模型中建立三组因果关系路径

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摘要

To exhibit the leading/lagging relationship among groups in a VAR process, we construct a three-group causal path (an extended Granger causality) as well as an identification procedure for the pathway which includes the independent, the intermediate and the dependent groups. In addition, we impose the unidirectional restriction on the pathway. Consequently, our method can organize more detailed and practical causal structure in a dynamic system than the conventional methods. The property concerning the impulse response function is derived when the three-group causality occurs in the VAR model. Finally, we show that these techniques can be easily implemented in the U.S. economic model consisting of the stock return, the inflation rate and the industrial production growth rate.
机译：为了显示VAR过程中各组之间的领先/滞后关系，我们构建了三组因果路径（扩展的格兰杰因果关系）以及包括独立，中间和依赖组的路径的识别过程。此外，我们对该路径施加了单向限制。因此，与传统方法相比，我们的方法可以在动态系统中组织更详细和实用的因果结构。当在VAR模型中出现三组因果关系时，将得出与脉冲响应函数有关的属性。最后，我们证明了这些技术可以很容易地在美国经济模型中实施，该模型包括库存回报，通货膨胀率和工业生产增长率。

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