Built in Causality Tests for more non-linear Models
Posted: Sun Mar 08, 2015 5:29 pm
I had a question on this a few days ago, specifically testing causality under ARMA model specifications.
Now that I know there is currently nothing built in for this, I would like to suggest possibly adding this to Eveiws 9 or later versions.
For reference, here is an example of how Granger causality takes an added dimension of complexity with an ARMA process.
To sum up, my thought is simply to let computers do what they are good at and alleviate some of the burden of linear algebra when possible.
I'm interested to know if features like this will debut in the coming years, or if this type of feature is lower on the priority list.
Now that I know there is currently nothing built in for this, I would like to suggest possibly adding this to Eveiws 9 or later versions.
For reference, here is an example of how Granger causality takes an added dimension of complexity with an ARMA process.
- ARMA Causality.png (71.15 KiB) Viewed 5036 times
I'm interested to know if features like this will debut in the coming years, or if this type of feature is lower on the priority list.