A time series causal model
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References listed on IDEAS
- 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 (IfW), vol. 1, pages 1-43.
- Chihying, Hsiao & Chen, Pu, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers 2007-15, Kiel Institute for the World Economy (IfW).
- Glymour, Clark & Spirtes, Peter, 1988. "Latent variables, causal models and overidentifying constraints," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 175-198.
- James M. Robins, 2003. "Uniform consistency in causal inference," Biometrika, Biometrika Trust, vol. 90(3), pages 491-515, September.
- Krolzig, Hans-Martin & Peter Flaschel, 2003. "Wage and Price Phillips Curves," Royal Economic Society Annual Conference 2003 128, Royal Economic Society.
- Chen Pu & Flaschel Peter, 2006. "Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-35, December.
- Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
- Hoover, Kevin D., 2005. "Automatic Inference Of The Contemporaneous Causal Order Of A System Of Equations," Econometric Theory, Cambridge University Press, vol. 21(01), pages 69-77, February.
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Cited by:
- Chen, Pu & Hsiao, Chih-Ying, 2008. "What happens to Japan if China catches a cold?: A causal analysis of Chinese growth and Japanese growth," Japan and the World Economy, Elsevier, vol. 20(4), pages 622-638, December.
- Chen, Pu & Hsiao, Chih-Ying, 2010. "Looking behind Granger causality," MPRA Paper 24859, University Library of Munich, Germany.
More about this item
Keywords
Inferred Causation; Automated Learning; VAR; Granger Causality; Wage-Price Spiral;JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-09-18 (All new papers)
- NEP-ECM-2010-09-18 (Econometrics)
- NEP-ETS-2010-09-18 (Econometric Time Series)
- NEP-MAC-2010-09-18 (Macroeconomics)
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