IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v65y2003is1p745-767.html
   My bibliography  Save this article

Searching for the Causal Structure of a Vector Autoregression

Author

Listed:
  • Selva Demiralp
  • Kevin D. Hoover

Abstract

We provide an accessible introduction to graph-theoretic methods for causal analysis. Building on the work of Swanson and Granger ("Journal of the American Statistical Association", Vol. 92, pp. 357-367, 1997), and generalizing to a larger class of models, we show how to apply graph-theoretic methods to selecting the causal order for a structural vector autoregression (SVAR). We evaluate the PC (causal search) algorithm in a Monte Carlo study. The PC algorithm uses tests of conditional independence to select among the possible causal orders - or at least to reduce the admissible causal orders to a narrow equivalence class. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. Copyright 2003 Blackwell Publishing Ltd.

Suggested Citation

  • Selva Demiralp & Kevin D. Hoover, 2003. "Searching for the Causal Structure of a Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 745-767, December.
  • Handle: RePEc:bla:obuest:v:65:y:2003:i:s1:p:745-767
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1046/j.0305-9049.2003.00087.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kevin D. Hoover & Steven M. Sheffrin (ed.), 1995. "Monetarism And The Methodology Of Economics," Books, Edward Elgar Publishing, number 232.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:65:y:2003:i:s1:p:745-767. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://edirc.repec.org/data/sfeixuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.