Granger causality on horizontal sum of Boolean algebras
Econometrics
2018-10-04 v1
Abstract
The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal systems, e.g., between commodity prices and exchange rates. Our paper presents a new mathematical model of causality between two measured objects. We have slightly modified the well-known Kolmogorovian probability model. In particular, we use the horizontal sum of set -algebras instead of their direct product.
Cite
@article{arxiv.1810.01654,
title = {Granger causality on horizontal sum of Boolean algebras},
author = {M. Bohdalová and M. Kalina and O. Nánásiová},
journal= {arXiv preprint arXiv:1810.01654},
year = {2018}
}
Comments
14 pages, 2 figures