Instantaneous Causality Research Articles

A note on defining geographic markets

This paper offers an approach to delineating geographic markets and/or product markets based on the notion of instantaneous causality. After providing a brief review of the issue of concern and a discussion of the relevant statistical methodology the flour market in the United States is examined. It is concluded that the flour market in fact is national in scope.

Causality between money and prices in Indonesia

The purpose of this study is to examine the relationship between money supply and prices in Indonesia, where money supply is taken to be the stock of narrow money (currency + demand deposits) and prices are proxied by the Jakarta cost of living index. The period studied is 1969–1980. Two concepts of causality namely “proper” causality in which the causal effect takes at least one quarter to manifest itself and “instantaneous” causality in which there are no lags, are employed. The hypothesis of “proper” causality is rejected by bothGranger andSims tests. However, the hypothesis that money and prices are contemporaneously correlated cannot be easily dismissed. Using the framework of [Geweke], contemporaneous causality is treated as a part of linear feedback and the lagged version of Sims test was used. We found that the hypothesis that prices cause money supply cannot be dismissed on the basis of Wald test. However, the contribution of instantaneous causality is very large to the total variance of linear feedback.

A FURTHER NOTE ON THE DETECTION OF GRANGER INSTANTANEOUS CAUSALITY

Abstract. The purpose of this paper is to demonstrate that it is conceptually incorrect to examine the contemporaneous univariate residual cross‐correlation between two time series in testing for the existence of instantaneous causality.

Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models

Abstract Cross-correlations between univariate autoregressive moving average (ARMA) time series residuals are useful in the examination of relationships between time series (Pierce 1977a) and in the identification of dynamic regression models (Haugh and Box 1977). In this article, the asymptotic distribution of these residual cross-correlations is derived, and its application to the problem of testing for lagged relationships in the presence of instantaneous causality is discussed. Some results of a simulation study to investigate the accuracy of the asymptotic variances and covariances of the residual cross-correlations in finite samples are reported.

The characterization of instantaneous causality: A correction

The purpose of this paper is to show that it is not possible to determine whether instantaneous causality exists between two time series by examining their contemporaneous cross-correlation.

The characterization of instantaneous causality: A comment

The characterization of instantaneous causality: A comment

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and feedback are proposed and illustrated by use of simple two-variable models. The important problem of apparent instantaneous causality is discussed and it is suggested that the problem often arises due to slowness in recording information or because a sufficiently wide class of possible causal variables has not been used. It can be shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation. Measures of causal lag and causal strength can then be constructed. A generalisation of this result with the partial cross spectrum is suggested.