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Causality in the Sciences$
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Phyllis McKay Illari, Federica Russo, and Jon Williamson

Print publication date: 2011

Print ISBN-13: 9780199574131

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780199574131.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 14 October 2019

A comprehensive causality test based on the singular spectrum analysis

A comprehensive causality test based on the singular spectrum analysis

Chapter:
(p.379) 18 A comprehensive causality test based on the singular spectrum analysis
Source:
Causality in the Sciences
Author(s):

Hossein Hassani

Anatoly Zhigljavsky

Kerry Patterson

Abdol S. Soofi

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199574131.003.0018

This chapter considers the concept of causal relationship between two time series based on the singular spectrum analysis. it introduces several criteria which characterize this causality. The criteria are based on the forecasting accuracy and the predictability of the direction of change. The performance of the proposed tests is examined using different real time series.

Keywords:   causality, singular spectrum analysis, time series, forecasting

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