The ‘derived’ moving-average model and its role in causality

In the situations where restrictions on the multivariate subset AR model are known, we propose methods of providing suitable standard errors of estimate and prediction which assist in assessing the importance of the coefficients appearing the 'derived' moving-average (MA) model. The coefficient patterns of the derived moving-average model are proposed as an alternative basis for detecting Granger-causality. GRANGER-CAUSALITY; SUBSET AUTOREGRESSION; RESTRICTED SUBSET AUTOREGRESSION; 'DERIVED' MOVING-AVERAGE REPRESENTATION; ASYMPTOTIC STANDARD ERROR OF ESTIMATE

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