Transcription of 제10장 Granger인과관계 검정 - elearning.kocw.net
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제10장 Granger인과관계 검정 - elearning.kocw.net
10 Granger 10 Granger Granger (Granger causality test) ( ) ( ) , .. (distributed lag model) (causality test) ( Granger, 1969) ..yt= + 0xt+ 1xt-1+ 2xt-2+ + nxt-n+ t 10 Granger Granger (Granger causality test) A B A B B A ( post hoc fallacy).. Granger (Granger causality test) . Damondar N. Gujarati & Dawn C. Porter, Basic Econometrics, 5thed., 17 . 10 Granger Granger (Granger causality test) Granger F- . Granger y ( ) y x y ( ) x y . x ( ) y x ( ) y x.
Granger 인과관계검정(Grangercausality test) §회귀분석에서원인변수(독립변수)와결과변수(종속변수)에대 한문제는경제이론에의해이미결정되어진것으로간주하고, 이에대한인과관계를확인하는것이일반적임.
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