nucleation

LIT-1173: Investigating Causal Relations by Econometric Models and Cross-spectral Methods

2 min read

Properties3
StatusUnavailable — unread, registered 2026-10-16. A lawful copy was sought and not reached: Crossref and the Econometric Society give only the JSTOR copy (stable 1912791), behind a login; a course-hosted copy on a University of Freiburg seminar page (jeti.uni-freiburg.de, stud_sem_SS_09/grangercausality.pdf) refused this client's connection three times and answered WebFetch with HTTP 503; a Bilkent course copy found by search returned 404. Searched again on 2026-10-17: the Freiburg host still reset the connection, and the only other copies found (ResearchGate, Scribd) are user uploads whose authorization could not be established. The record reads it through Barnett, Barrett and Seth (LIT-1171), Seth (LIT-1170) and Eichler and Didelez (LIT-1164), which restate its definition, until a copy is supplied.
Tagscausality, mathematical-statistics
Extended byLIT-1164 — Causal Reasoning in Graphical Time Series Models, LIT-1169 — Measurement of Linear Dependence and Feedback between Multiple Time Series, LIT-1170 — Measuring Autonomy and Emergence via Granger Causality, LIT-1171 — Granger causality and transfer entropy are equivalent for Gaussian variables

Graph View

C. W. J. Granger (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica 37(3): 424–438 — doi:10.2307/1912791

Key takeaways

Unread. From citing works, to be checked against the text.

  • The definition. Y causes X if including the past of Y reduces the prediction error of X, relative to a predictor that already uses all other relevant past information. The abstract calls the definitions “testable”, and Barnett, Barrett and Seth credit the idea to Wiener (1956) and its linear-autoregressive form to this paper.
  • Relative to an information set. Eichler and Didelez say Granger required the set of series to contain all “relevant” processes, and did not ask whether an intervention on the cause is possible at all (NOTE-941, Conclusion).
  • Feedback and the cross spectrum. By the abstract, the cross spectrum of two series in a feedback relation splits into two parts, each tied to one direction of influence. Geweke (1982) is the frequency decomposition later work uses.

Standing in the record

Filed on 2026-10-16 because the record names Granger causality in nine documents, all through other authors. Its content is here only as citing works state it. TERM-058 defines the term from those statements, not from this paper. A supplied copy would let the record check two things: whether the paper’s information set is the causal-sufficiency condition Eichler and Didelez read into it, and what it says about instantaneous causality.

Backlinks