Testing for Granger's Full Causality
提出一种检验两个变量间完全因果关系的方法，通过比较单变量和双变量概率预测表现来判断因果效应，并应用于活牛期货与现货市场的关系分析。
A procedure is proposed to test for the existence of a fully causal relationship between two variables. The method involves contrasting the probabilistic forecasting performance of a univariate and bivariate specification for the same variable Y. If there exists some theory or belief that X causes Y, and the addition of a variable X to the information set of a prequential forecasting system for a variable Y reduces miscalibration and/or the level of forecast uncertainty with respect Y's distribution for the next period, then a fully causal effect running from X to Y may be inferred. Vector autoregression allows testing for feedback. The method is to be applied to the issue of causality between the live cattle futures market and a major slaughter cattle cash market. Copyright 1992 by MIT Press.