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Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data

Author

Listed:
  • Alessio Moneta

    () (Max Planck Institute of Economics)

  • Doris Entner

    () (Helsinki Institute for Information Technology)

  • Patrik Hoyer

    () (Helsinki Institute for Information Technology and Massachusetts Institute of Technology)

  • Alex Coad

    () (Max Planck Institute of Economics)

Abstract

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure underlying the data, and show how the method can be applied to both microeconomic data (processes of firm growth and firm performance) as well as macroeconomic data (effects of monetary policy).

Suggested Citation

  • Alessio Moneta & Doris Entner & Patrik Hoyer & Alex Coad, 2010. "Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data," Jena Economic Research Papers 2010-031, Friedrich-Schiller-University Jena.
  • Handle: RePEc:jrp:jrpwrp:2010-031
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    File URL: http://pubdb.wiwi.uni-jena.de/pdf/wp_2010_031.pdf
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    Cited by:

    1. Coad, Alex, 2010. "Neoclassical vs evolutionary theories of financial constraints: Critique and prospectus," Structural Change and Economic Dynamics, Elsevier, vol. 21(3), pages 206-218, August.
    2. Alex Coad & Werner Hölzl, 2012. "Firm Growth: Empirical Analysis," Chapters,in: Handbook on the Economics and Theory of the Firm, chapter 24 Edward Elgar Publishing.
    3. Tommaso Ferraresi & Andrea Roventini & Giorgio Fagiolo, 2015. "Fiscal Policies and Credit Regimes: A TVAR Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1047-1072, November.
    4. Tommaso Ciarli, 2012. "Structural Interactions and Long Run Growth. An Application of Experimental Design to Agent Based Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 295-345.

    More about this item

    Keywords

    Causality; Structural VAR; Independent Components Analysis; Non-Gaussianity; Firm Growth; Monetary Policy;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • L21 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Business Objectives of the Firm

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