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Non-causality: The role of the omitted variables

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
60
Issue
3
Identifiers
DOI: 10.1016/s0165-1765(98)00118-9
Keywords
  • Granger Causality
  • Omitted Variables
  • Time Series

Abstract

Abstract In this paper a proof is offered that if a variable Y 3 does not cause a variable Y 1 in the bivariate system ( Y 1, Y 3) and Y 3 causes a variable Y 1 in higher-order system ( Y 1, Y 2, Y 3), then the omitted variable Y 2 must cause the variable Y 1 in the bivariate system ( Y 1, Y 2) and in the trivariate system ( Y 1, Y 2, Y 3).

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