2014年上海扬帆计划见面会.pptVIP

Empirical application The data covers a period from January 4, 2002 to December 30,2016 are take from Wind Database. * Mathematically, this was formulated using linear regressive models of X and Y. In his framework, if the prediction of Y can be improved by incorporating the history of X, it is said that there exists a causal connection from the time series X to time series Y. * As we know, the mean regression models would result in better estimates of the effect of time series on each other, but it has many limitations in econometric applications, such as it may fail to detect causal relation