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A Computational Approach to Finding Causal Economic Laws

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Author Info
I-Lok Chang
P.A.V.B. Swamy
Charles Hallahan
George S. Tavlas

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Abstract

This paper states four realities of econometric model building and shows that an econometric model can be causal only if the interpretations given to its coefficients are consistent with these realities. A numerically stable algorithm for estimating such a model subject to equality and inequality constraints on the model parameters is presented. This algorithm is designed in such a way that it can be applied even when the matrix of observations on the model‘s independent variables and the covariance matrix of the model‘s errors are deficient in rank.

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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 16 (2000)
Issue (Month): 1/2 (October)
Pages: 105-136
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:compec:v:16:y:2000:i:1/2:p:105-136

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: realities of econometric model building; causality; random coefficient models; nonlinear programming;

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  1. P. Swamy & I-Lok Chang & Jatinder Mehta & George Tavlas, 2003. "Correcting for Omitted-Variable and Measurement-Error Bias in Autoregressive Model Estimation with Panel Data," Computational Economics, Springer, vol. 22(2), pages 225-253, October. [Downloadable!] (restricted)
  2. George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas, 2007. "The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?," Working Papers 57, Bank of Greece. [Downloadable!]
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  3. George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas & Michael Ulan, 2005. "Some Further Evidence on Exchange-Rate Volatility and Exports," Working Papers 28, Bank of Greece. [Downloadable!]
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  4. P. Swamy & George Tavlas, 2007. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Economic Theory, Springer, vol. 31(2), pages 293-306, May. [Downloadable!] (restricted)
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  5. George Hondroyiannis & Sophia Lazaretou, 2004. "Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data," Working Papers 13, Bank of Greece. [Downloadable!]
    Other versions:
  6. Sophocles N. Brissimis & George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Working Papers 01, Bank of Greece. [Downloadable!]
    Other versions:
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