Non-Causality in Bivariate Binary Time Series

@inproceedings{Mosconi2004NonCausalityIB,
  title={Non-Causality in Bivariate Binary Time Series},
  author={Rocco Mosconi},
  year={2004}
}
In this paper we develop a dynamic discrete-time bivariate probit model, in which the conditions for Granger non-causality can be represented and tested. The conditions for simultaneous independence are also worked out. The model is extended in order to allow for covariates, representing individual as well as time heterogeneity. The proposed model can be estimated by Maximum Likelihood. Granger non-causality and simultaneous independence can be tested by Likelihood Ratio or Wald tests. A… CONTINUE READING