Cited by 2,060Complex Systems and Time Series AnalysisTime Series Analysis and ForecastingFinancial Risk and Volatility Modeling

Measurement of Linear Dependence and Feedback between Multiple Time Series

Geweke, John·1982·Journal of the American Statistical Association

Abstract

Measures of linear dependence and feedback for multiple time series are defined. The measure of linear dependence is the sum of the measure of linear feedback from the first series to the second, linear feedback from the second to the first, and instantaneous linear feedback. The measures are nonnegative, and zero only when feedback (causality) of the relevant type is absent. The measures of linear feedback from one series to another can be additively decomposed by frequency. A readily usable theory of inference for all of these measures and their decompositions is described; the computations involved are modest.

Integrity signals

Registry

Crossref · 10.1080/01621459.1982.10477803

Cites

20 of 20 references verified0 citation errors · 0 not checkable

Statistics

Recomputing p-values needs the paper’s full text.

Claims the paper makes

This paper’s full text isn’t openly available, so its claims and self-check weren’t run. The registry and citation checks still apply.

Claims other papers make about this one

Each is checked against this paper’s own text: does it say what the citing paper says it does?

  • Causality or directionality is often inferred from time series: if past activity in A predicts current or future activity in B, A causes or drives B through a connectivity pointing from A to B.

    “Causality or directionality is often inferred from time series: if the past activity in A predicts the current or future activity in B, A causes or drives B through a connectivity pointing from A to B (96).”

Cites

Flagged first, then by citations

Cited by

Sorted by citations

Authors
Geweke, J.
Affiliations
University of Wisconsin–Madison (US)
Corresponding author
Geweke, John
Venue
Journal of the American Statistical Association
Published
1982-06
Volume
77
Issue
378
Pages
304-313
ISSN
  • 0162-1459 (ISSN-L)
  • 1537-274X
OpenAlex
W2025371899
Cited by
2,060
References
20
Citations by year
2026: 67 · 2025: 88 · 2024: 80 · 2023: 126 · 2022: 139 · 2021: 147 · 2020: 127 · 2019: 101 · 2018: 102 · 2017: 86 · 2016: 99 · 2015: 102 · 2014: 82 · 2013: 91 · 2012: 71
FWCI
40.13
Type
journal article
Language
en
Open access
closed
Locations
Journal of the American Statistical Association (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
  • Physical Sciences › Computer Science › Signal Processing › Time Series Analysis and Forecasting
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
linear dependence, linear feedback, multiple time series, causality, real-time feedback, frequency decomposition

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review