Causality in Nonlinear Models

@inproceedings{Warne1996CausalityIN,
  title={Causality in Nonlinear Models},
  author={Anders Warne},
  year={1996}
}
The concepts of weak, strong and strict Granger causality are introduced for nonlinear time series models. 1-step ahead predictions are formed using the conditional expectation. The weak form is related to Granger's original deenition for linear predictors in that it is based on the forecast error variance, whereas the strong form concerns the conditional… CONTINUE READING