[ Hossein Hassani, Anatoly Zhigljavsky, Kerry Patterson, and Abdol S. Soof (2011), “A comprehensive causality test based on the singular spectrum analysis”, in P. Illari et al. (eds.)(2011), Causality in the Sciences (Oxford University Press), pp. 379-. ]
18.1 Introduction
18.2 Singular spectral analysis
18.2.1 A short description of the Basic SSA
18.2.2 Multivariate singular spectrum analysis: MSSA
18.3 Causality criteria
18.3.1 Forecasting accuracy based criterion
18.3.2 Direction of change based criterion
18.3.3 Comparison with Granger causality test
18.4 Empirical results
18.4.1 Exchange rate
18.4.2 Index of industrial production series
18.5 Conclusion
18.1 Introduction
18.2 Singular spectral analysis
18.2.1 A short description of the Basic SSA
18.2.2 Multivariate singular spectrum analysis: MSSA
18.3 Causality criteria
18.3.1 Forecasting accuracy based criterion
18.3.2 Direction of change based criterion
18.3.3 Comparison with Granger causality test
18.4 Empirical results
18.4.1 Exchange rate
18.4.2 Index of industrial production series
18.5 Conclusion
(2023.04.29.)
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