Sunday, January 27, 2013

Granger Causality

It's interesting, to me, that the posts on this blog that have received (and continue to receive) the most hits are those relating to Granger causality. Or, more correctly, testing for Granger non-causality.

The top one of all time remains, "Testing for Granger Causality". (Maybe it's the catchy title?) Then, just behind "How Many Weeks Are There in a Year" (which has nothing to do with causality - at least, not in any  obvious sense), comes "VAR or VECM When Testing for Granger Causality?"

Moreover, in addition to the many comments/questions that are published with those posts, I get numerous emails on this topic - almost on a daily basis.

Of course, some of these are pretty predicable - essentially, they are asking me to do give them a research project; tell them how to write their paper; or else they want to me to tell them how to complete an assignment for some course they're taking!

But then there are the many, many thoughtful emails that ask interesting questions, and raise all sorts of issues that get me thinking. I really enjoy responding to as many of these as I can manage.

So, I've been thinking.

Is there a demand for a short monograph on testing for Granger causality, with the emphasis on the practice, not the theory. In other words, a "how to do it properly" book for non-specialists, with lots of real-data examples.

Any thoughts on this?

  • Is there a need?
  • What format should it take - printed or e-book?
  • Does this sounds like something that might interest you and/or your students?
I'll be interested to see your feedback.

© 2013, David E. Giles