Granger因果检验和Sims因果检验的实证比较
首发时间:2006-05-26
摘要:本文通过实证研究了Granger因果关系和Sims因果关系的联系与区别,指出Granger原因存在预示着Sims原因一定存在,但是,Sims原因存在并不能预示着Granger原因也一定存在。这个实证结果说明一般情况下Granger因果检验与Sims因果检验是不能互相代替着使用的,二者有着明显的区别。
关键词: Granger因果关系 Sims因果关系 实证检验
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Empirical Comparison between the Testing for Granger causality and Sims causality
Abstract:We empirically investigate the relationship and distinction between the Granger causality and Sims causality. The research demonstrates that the existence of Granger cause must imply, but the existence of Sims cause does not imply the existence of Granger cause must occur. This conclusion in general shows that the application of Granger causality can not be instead of the application of Sims causality, and vice versa.
Keywords: Granger causality, Sims causality, empirical test.
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No.6817675191148613****
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