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Linking Granger Causality and the Pearl Causal Model with Settable Systems

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Author Info

  • Halbert White

    (University of California-San Diego)

  • Karim Chalak

    ()
    (Boston College)

  • Xun Lu

    (Hong Kong University of Science and Technology)

Abstract

The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl's Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each relates to straightforward notions of direct causality embodied in settable systems, an extension and refinement of the Pearl Causal Model designed to accommodate optimization, equilibrium, and learning. We then provide straightforward practical methods to test for direct causality using tests for Granger causality.

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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 744.

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Date of creation: 01 Aug 2010
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Handle: RePEc:boc:bocoec:744

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Related research

Keywords: Causal Models; Conditional Exogeneity; Conditional Independence; Granger Non-causality;

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  1. Florens, J P & Mouchart, M, 1982. "A Note on Noncausality," Econometrica, Econometric Society, vol. 50(3), pages 583-91, May.
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Cited by:
  1. Halbert White & Haiqing Xu & Karim Chalak, 2011. "Causal Discourse in a Game of Incomplete Information," Department of Economics Working Papers 130912, The University of Texas at Austin, Department of Economics.
  2. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.

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