Nonstationary time series, cointegration, and the principle of the common cause
Elliot Sober () forcefully restates his well-known counterexample to Reichenbach's principle of the common cause: bread prices in Britain and sea levels in Venice both rise over time and are, therefore, correlated; yet they are ex hypothesi not causally connected, which violates the principle of the common cause. The counterexample employs nonstationary data - i.e., data with time-dependent population moments. Common measures of statistical association do not generally reflect probabilistic dependence among nonstationary data. I demonstrate the inadequacy of the counterexample and of some previous responses to it, as well as illustrating more appropriate measures of probabilistic dependence in the nonstationary case.
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