昨日紹介したEconomist's Viewのシムズの業績の解説で触れられていた因果性検証について、同ブログのこちらのエントリで詳しい解説がなされている。以下はその要約とも言える段落。

Sims' main contributions were, initially, the F-tests for testing causality in bivariate systems, and the addition of IRFs and VDCs to assess causality in higher order systems. In addition, he also provided many of the common "pitfalls of causality testing," -- causality testing can be misleading in a number of ways. One is above, leaving a variable out of a system. If A causes B to change tomorrow, and C to change the next day, a system containing only B and C will look as though B causes C when in fact there is no causality at all, a third variable causes both. Other pitfalls can occur, for example, when there is optimal control or when expectations of future variables are in the model. Identifying the pitfalls of the methods he (and others) developed was also an important contribution to the literature.