Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated … GARCH (or BEKK), and construct a Wald test on noncausality in variance. We compare both approaches to testing causality in …

Haavelmo's seminal 1943 paper is the first rigorous treatment of causality. In it, he distinguished the definition of … Acyclic Graphs (DAG) used in one influential recent approach to causality (Pearl, 2000) and in the related literature on … Pearl in securing identification of economic models. We extend our framework to consider models for simultaneous causality …

transformations are not unique. It is widely believed that practitioners must choose among them using a priori theory or other …

effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes … model for outcomes unspecified. A conceptual innovation is that we adapt the cross-sectional potential outcomes framework to … a time series setting. This leads to a generalized definition of Sims (1980) causality. A technical contribution is the …

parameters are defined and identified to address specific policy problems. Economists embrace a scientific approach to causality …. Anticipated and realized subjective and objective outcomes are distinguished. Models for simultaneous causality are developed. The … paper contrasts the Neyman-Rubin model of causality with the econometric approach. …