<p>In short, not really.  Prof. John Cochrane offers an astute example of Granger causality by stating that a weatherman Granger-causes the weather.  We know that a weatherman has no measurable role in causing the weather, but there is indeed an intertemporal correlation between what the weatherman says today and what happens tomorrow.</p>

CC BY-SA 3.0
2015-01-16T18:20:28.720Z
2015-01-16T18:20:28.720Z
Bryce
<p><a href="http://en.wikipedia.org/wiki/Clive_Granger" rel="nofollow noreferrer">Sir Clive Granger</a> was a master not only of Time-Series Econometrics, but also of giving very appealing names to his works. With his concept of "causality" I guess he went a bit too far: reading the <a href="http://www.jstor.org/stable/1912791" rel="nofollow noreferrer">original paper</a>, p.428,</p>

<p><img src="https://i.sstatic.net/Sedc2.png" alt="enter image description here"></p>

<p>...and "better able to predict" is essentially defined in the first sentence (reduced prediction error variance, which is $\sigma^2 (X\mid U)$, conditional on $U$, that includes $Y$).</p>

<p>In other words, Granger shamelessly used the word "causality" as a synonym for "predictive power": if information on $Y$ improves our predictions on $X$ then "$Y$ is causing $X$". His implicit argument is clear: if they correlate there <em>may</em> be also a causative link here -who knows?... No wonder scholars felt the need to subsequently name it "Granger-causality" -proving Granger's strategic mastery in name-giving!  </p>

<p>So no, no relation to Rubin's concept.</p>

CC BY-SA 3.0
2015-01-18T04:36:20.910Z
2015-01-18T05:26:48.300Z
2015-01-18T05:26:48.300Z
Alecos Papadopoulos
<p>Granger proposed a test for causality based on time series, is there any relation with the notion of causality by Rubin that seems prevalent on applied micro work. The latter deals with the notion of counterfactual and how we can use an experimental set-up to capture the expected value of this parallel world situation to infer about the average effect of the intervention. </p>

<econometrics>
What is the relation beween Granger causality and Rubin's causality?
user157623
# What is the relation beween Granger causality and Rubin's causality?

(Asked by: username_0 on 2015-01-16)

Granger proposed a test for causality based on time series, is there any relation with the notion of causality by Rubin that seems prevalent on applied micro work. The latter deals with the notion of counterfactual and how we can use an experimental set-up to capture the expected value of this parallel world situation to infer about the average effect of the intervention.

**Tags:** econometrics


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## 2 answers

### Answer by username_1 on 2015-01-16. Score: 5

In short, not really. Prof. John Cochrane offers an astute example of Granger causality by stating that a weatherman Granger-causes the weather. We know that a weatherman has no measurable role in causing the weather, but there is indeed an intertemporal correlation between what the weatherman says today and what happens tomorrow.


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### Answer by username_2 on 2015-01-18. Score: 3

[Sir Clive Granger](http://en.wikipedia.org/wiki/Clive_Granger) was a master not only of Time-Series Econometrics, but also of giving very appealing names to his works. With his concept of "causality" I guess he went a bit too far: reading the [original paper](http://www.jstor.org/stable/1912791), p.428,

![enter image description here](https://i.sstatic.net/Sedc2.png)

...and "better able to predict" is essentially defined in the first sentence (reduced prediction error variance, which is $\sigma^2 (X\mid U)$, conditional on $U$, that includes $Y$).

In other words, Granger shamelessly used the word "causality" as a synonym for "predictive power": if information on $Y$ improves our predictions on $X$ then "$Y$ is causing $X$". His implicit argument is clear: if they correlate there *may* be also a causative link here -who knows?... No wonder scholars felt the need to subsequently name it "Granger-causality" -proving Granger's strategic mastery in name-giving!

So no, no relation to Rubin's concept.


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