Granger Causality and Dynamic Structural Systems
AbstractUsing a generally applicable dynamic structural system of equations, we give natural definitions of direct and total structural causality applicable to both structural vector autoregressions (VARs) and recursive structures representing time-series natural experiments. These concepts enable us to forge a previously missing link between Granger (G-)causality and structural causality by showing that, given a corresponding conditional form of exogeneity, G-causality holds if and only if a corresponding form of structural causality holds. We introduce a variety of structurally informative extensions of G-causality and provide their structural characterizations. Of importance for applications is the structural characterization of finite-order G-causality, which forms the basis for most empirical work. We show that conditional exogeneity is necessary for valid structural inference and prove that, in the absence of structural causality, conditional exogeneity is equivalent to G noncausality. These characterizations hold for both structural VARs and natural experiments. We propose practical new G-causality and conditional exogeneity tests and describe their use in testing for structural causality. We illustrate with studies of oil and gasoline prices, monetary policy and industrial production, and stock returns and macroeconomic announcements. Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: firstname.lastname@example.org, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 8 (2010)
Issue (Month): 2 (spring)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Davide Pettenuzzo & Halbert White, 2010.
"Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis,"
36, Brandeis University, Department of Economics and International Businesss School.
- White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Al-Sadoon, Majid M., 2014.
"Geometric and long run aspects of Granger causality,"
Journal of Econometrics,
Elsevier, vol. 178(P3), pages 558-568.
- Majid M. Al-Sadoon, 2013. "Geometric and long run aspects of Granger causality," Economics Working Papers 1356, Department of Economics and Business, Universitat Pompeu Fabra.
- Majid Al-Sadoon, 2013. "Geometric and Long Run Aspects of Granger Causality," Working Papers 682, Barcelona Graduate School of Economics.
- Halbert White & Karim Chalak, 2010.
"Testing a Conditional Form of Exogeneity,"
Boston College Working Papers in Economics
733, Boston College Department of Economics.
- Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
- Lorenzo Frattarolo & Dominique Guegan, 2013.
"Empirical Projected Copula Process and Conditional Independence An Extended Version,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence an Extended Version," Documents de travail du Centre d'Economie de la Sorbonne 13068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.