Kuliback Causality Measures
Christian Gouriéroux, Alain Monfort, Éric Renault · Annals of Economics and Statistics · 1987
In this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures and test procedures are proposed. The nesting of the hypotheses and the asymptotic independence of the test statistics are carefully studied.