Learning Causal Relations in Multivariate Time Series Data
AbstractApplying a probabilistic causal approach, we define a class of time series causal models (TSCM) based on stationary Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify TSCMs into observationally equivalent classes by providing a necessary and sufficient condition for the observational equivalence. Applying an automated learning algorithm, we are able to consistently identify the data-generating causal structure up to the class of observational equivalence. In this way we can characterize the empirical testable causal orders among variables based on their observed time series data. It is shown that while an unconstrained VAR model does not imply any causal orders in the variables, a TSCM that contains some empirically testable causal orders implies a restricted SVAR model. We also discuss the relation between the probabilistic causal concept presented in TSCMs and the concept of Granger causality. It is demonstrated in an application example that this methodology can be used to construct structural equations with causal interpretations. --
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2007-15.
Date of creation: 2007
Date of revision:
Automated Learning; Bayesian Network; Inferred Causation; VAR; Wage-Price Spiral;
Other versions of this item:
- Chen, Pu & Chihying, Hsiao, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(11), pages 1-43.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-19 (All new papers)
- NEP-ECM-2007-05-19 (Econometrics)
- NEP-ETS-2007-05-19 (Econometric Time Series)
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