Wold-causal

adj

adj

causal in the sense of Herman Wold.

The VAR literature has often relied on assuming a Wold-causal order for the elements of #92;mathbfy#95;t to organize the triangular factorization of the reduced-form, residual variance-covariance matrix, #92;boldsymbol#92;Omega#61;#92;mathbfP#92;mathbfP'.2005 March 23, Òscar Jordà, “Estimation and Inference of Impulse Responses by Local Projections”, in American Economic Review, volume 95, number 1, page 163:

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