Selection of the relevant information se
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Umberto Triacca
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Article
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2002
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John Wiley and Sons
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English
β 66 KB
## Abstract In time series analysis, a vector **Y** is often called causal for another vector **X** if the former helps to improve the __k__βstepβahead forecast of the latter. If this holds for __k__=1, vector **Y** is commonly called Grangerβcausal for **X**. It has been shown in several studies t