• Transitivity of Granger Causality

    From cyberyogix@gmail.com@21:1/5 to All on Sun Jun 25 19:04:31 2017
    X, Y and Z are time series.

    Let us assume that X granger causes Y and Y granger causes Z. We also know that Y does not granger cause X and Z does not granger cause Y.

    Can we say that X granger causes Z? Are there sufficient conditions that would allow such transitivity?

    Thank you.

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