Causality and separability
Following Wold (1954), a causal relationship from a vector y of economic variables towards a vector x should be interpreted through a fictive controlled experiment. At least one factor y(i) component of y should have an impact on x when other factors y(j), j≠i, are kept constant. It is arguably a logical weakness of the causality concept when this interpretation breaks down, due to common factors between the components of y. We provide a general separability condition between causal factors to restore their causal interpretation. This general approach can be applied to most of the commonly used causality concepts in modern econometrics.
Volume (Year): 99 (2015)
Issue (Month): C ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Marie Dufour & Eric Renault, 1998.
"Short Run and Long Run Causality in Time Series: Theory,"
Econometric Society, vol. 66(5), pages 1099-1126, September.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Universite de Montreal, Departement de sciences economiques.
- Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
- Florens, J.P. & Mouchart, M. & Rolin, J.M., 1993. "Noncausality and Marginalization of Markov Processes," Econometric Theory, Cambridge University Press, vol. 9(02), pages 241-262, April.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:99:y:2015:i:c:p:1-5. 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: (Dana Niculescu)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 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.