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Causality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1
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Dufour et al. (Tue,) studied this question.
synapsesocial.com/papers/6a20fc776288bed95d86da24 — DOI: https://doi.org/10.2307/2999631
Jean‐Marie Dufour
Center for Interuniversity Research and Analysis on Organizations
Éric Renault
John Brown University
Econometrica
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