tag:blogger.com,1999:blog-2198942534740642384.post5853681926693340529..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Granger Causality & Seasonal AdjustmentDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-2198942534740642384.post-60071676288596694112016-03-21T10:34:41.422-07:002016-03-21T10:34:41.422-07:00Lerry - no, you need to set up a VAR model.Lerry - no, you need to set up a VAR model.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57218039026270029942016-03-21T10:31:28.708-07:002016-03-21T10:31:28.708-07:00may i ask. is it possible to determine the granger...may i ask. is it possible to determine the granger causality based on the ARDL model? Appreciate for your help. thanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78591214214300290412015-03-06T11:52:57.165-08:002015-03-06T11:52:57.165-08:00Autoadjustment refers to the Census X /STAMP metho...Autoadjustment refers to the Census X /STAMP methods routinely used by virtually all statistical agencies in the world. Your interpretation is correct, and there's lots of evidence that the automatic methods are far from "perfect". Also, they assume a deterministic seasonal; component, and will not be adequate if the series has a stochastic seasonal component (i.e., unit roots at the seasonal frequencies).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-30060772338287491492015-03-06T11:48:34.770-08:002015-03-06T11:48:34.770-08:00Could you please specify what autoadjustment is? I...Could you please specify what autoadjustment is? It seems to be an important element here. Also, did I get the main idea right: as long as seasonal adjustment is successful (the seasonal component is well captured during the adjustment procedure), Granger causality works wit no problem; but when seasonal adjustment fails (when adjusting, something not quite equal to the seasonal component is captured), Granger causality will likely be found due to the impact of the remainders of the seasonal components in the two series. (I hope my wording is comprehensible.)Daumantasnoreply@blogger.com