Artikel

The discovery of long-run causal order: A preliminary investigation

The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn from the literature on graphical causal modeling. It is assumed that the fundamental source of trending behavior is transmitted from exogenous (and typically latent) trending variables to a set of causally ordered variables that would not themselves display nonstationary behavior if the nonstationary exogenous causes were absent. The possibility of inferring the long-run causal structure among a set of time-series variables from an exhaustive examination of weak exogeneity in irreducibly cointegrated subsets of variables is explored and illustrated.

Language
Englisch

Bibliographic citation
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-24 ; Basel: MDPI

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Methodological Issues: General
Subject
causal search
cointegrated vector autoregression (CVAR)
graphical causal modeling
irreducible cointegrating relations
weak exogeneity

Event
Geistige Schöpfung
(who)
Hoover, Kevin D.
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2020

DOI
doi:10.3390/econometrics8030031
Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Hoover, Kevin D.
  • MDPI

Time of origin

  • 2020

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