Searching for the Causal Structure of a Vector Autoregression
We provide an accessible introduction to graph-theoretic methods for causal analysis. Building on the work of Swanson and Granger ("Journal of the American Statistical Association", Vol. 92, pp. 357-367, 1997), and generalizing to a larger class of models, we show how to apply graph-theoretic methods to selecting the causal order for a structural vector autoregression (SVAR). We evaluate the PC (causal search) algorithm in a Monte Carlo study. The PC algorithm uses tests of conditional independence to select among the possible causal orders - or at least to reduce the admissible causal orders to a narrow equivalence class. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. Copyright 2003 Blackwell Publishing Ltd.
Year of publication: |
2003
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Authors: | Demiralp, Selva ; Hoover, Kevin D. |
Published in: |
Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 65.2003, s1, p. 745-767
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Publisher: |
Department of Economics |
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