The discovery of long-run causal order: A preliminary investigation
Publication
, Journal Article
Hoover, KD
Published in: Econometrics
September 1, 2020
The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn from the literature on graphical causal modeling. It is assumed that the fundamental source of trending behavior is transmitted from exogenous (and typically latent) trending variables to a set of causally ordered variables that would not themselves display nonstationary behavior if the nonstationary exogenous causes were absent. The possibility of inferring the long-run causal structure among a set of time-series variables from an exhaustive examination of weak exogeneity in irreducibly cointegrated subsets of variables is explored and illustrated.
Duke Scholars
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Published In
Econometrics
DOI
EISSN
2225-1146
Publication Date
September 1, 2020
Volume
8
Issue
3
Start / End Page
1 / 24
Related Subject Headings
- 1403 Econometrics
Citation
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MLA
NLM
Hoover, K. D. (2020). The discovery of long-run causal order: A preliminary investigation. Econometrics, 8(3), 1–24. https://doi.org/10.3390/econometrics8030031
Hoover, K. D. “The discovery of long-run causal order: A preliminary investigation.” Econometrics 8, no. 3 (September 1, 2020): 1–24. https://doi.org/10.3390/econometrics8030031.
Hoover KD. The discovery of long-run causal order: A preliminary investigation. Econometrics. 2020 Sep 1;8(3):1–24.
Hoover, K. D. “The discovery of long-run causal order: A preliminary investigation.” Econometrics, vol. 8, no. 3, Sept. 2020, pp. 1–24. Scopus, doi:10.3390/econometrics8030031.
Hoover KD. The discovery of long-run causal order: A preliminary investigation. Econometrics. 2020 Sep 1;8(3):1–24.
Published In
Econometrics
DOI
EISSN
2225-1146
Publication Date
September 1, 2020
Volume
8
Issue
3
Start / End Page
1 / 24
Related Subject Headings
- 1403 Econometrics