Functional Causality between Oil Prices and GDP Based on Big Data

作     者：Ibrahim Mufrah Almanjahie Zouaoui Chikr Elmezouar Ali Laksaci 

作者机构：Department of MathematicsCollege of ScienceKing Khalid UniversityAbha62529Saudi Arabia Statistical Research and Studies Support UnitKing Khalid UniversityAbha62529Saudi Arabia Department of MathematicsUniversity Tahri MohamedBechar8000Algeria 

出 版 物：《Computers, Materials & Continua》 (计算机、材料和连续体（英文）)

年 卷 期：2020年第63卷第5期

页      面：593-604页

核心收录：

学科分类：0831[工学-生物医学工程（可授工学、理学、医学学位）] 0202[经济学-应用经济学] 02[经济学] 0808[工学-电气工程] 020205[经济学-产业经济学] 0809[工学-电子科学与技术（可授工学、理学学位）] 0805[工学-材料科学与工程（可授工学、理学学位）] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 0801[工学-力学（可授工学、理学学位）] 

基　　金：the financial support through the General Research Program under project number GRP-73-41 

主　　题：Functional time series functional stationarity FAR FARX causality 

摘      要：This paper examines the causal relationship between oil prices and the Gross Domestic Product(GDP)in the Kingdom of Saudi *** study is carried out by a data set collected quarterly,by Saudi Arabian Monetary Authority,over a period from 1974 to *** seek how a change in real crude oil price affects the GDP of *** on a new technique,we treat this data in its continuous ***,we analyze the causality between these two variables,i.e.,oil prices and GDP,by using their yearly curves observed in the four quarters of each *** discuss the causality in the sense of Granger,which requires the stationarity of the ***,in the first Step,we test the stationarity by using the Monte Carlo test of a functional time series *** main goal is treated in the second step,where we use the functional causality idea to model the co-variability between these *** show that the two series are not integrated;there is one causality between these two *** the statistical analyzes were performed using R software.