Graphical models for the identification of causal structures in multivariate time series models

Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006

Volumn 2006, Issue , 2006, Pages

  Moneta, Alessio ^a   Spirtes, Peter ^b  

^a SCUOLA SUPERIORE SANT ANNA   (Italy)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847719826     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.2991/jcis.2006.171     Document Type: Conference Paper

References (14)

1. Bernanke, B.S., and I. Mihov. 1998, Measuring Monetary Policy, Quarterly Journal of Economics. 113(3), 869-902.
2. Bessler, D.A., and S. Lee, 2002, Money and prices: US data 1869-1914 (a study with directed graphs), Empirical Economics, 27 (3), 427-446.
3. Demiralp, S., and K.D. Hoover, 2003, Searching for the Causal Structure of a Vector Autoregression, Oxford Bulletin of Economics and Statistics. 65, 745-767.
4. Forni, M., and M. Lippi, 1997, Aggregation and the Microfoundations of Dynamic Macroeconomics. Oxford: Oxford University Press.
5. Forni, M., M. Hallin, M. Lippi and L. Reichlin. 2000, The generalized factor model: identification and estimation. The Review of Economics and Statistics 80, 540-554.
6. Forni, M., D. Giannone, M. Lippi and L. Reichlin, 2004, Opening the Black Box: Structural Factor Models versus Structural VARs, CEPR Discussion Paper 4133.
7. King, R.G., C.I. Plosser, J.H. Stock, and M.W. Watson, 1991, Stochastic trends and economic fluctuations, American Economic Review. 81(4), 819-840.
8. Moneta, A., 2003, Graphical Models and Structural Vector Autoregressions, LEM Working Paper 07, Sant'Anna School of Advanced Studies, Pisa.
9. Moneta, A., 2004, Identification of Monetary Policy Shocks: A Graphical Causal Approach, Notas Económicas, 20.
10. Reale, M., and G. Tunnicliffe Wilson, 2001, Identification of Vector AR Models with Recursive Structural Errors Using Conditional Independence Graphs, Statistical Methods and Applications 10(1), 49-65.
11. Richardson, T., and P. Spirtes, 1999, Automated Discovery of Linear Feedback Models, in C. Glymour, and G.F. Cooper (eds.), Computation, Causation and Discovery. Menlo Park, CA: AAAI Press and The MIT Press.
12. Spirtes, P., C. Glymour, and R. Scheines, 2000, Causation, Prediction, and Search. Cambridge MA: The MIT Press.
13. Stock, J.H., and M.W. Watson, 2001, Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
14. Swanson, N.R., and C.W.J. Granger, 1997, Impulse Response Function Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions. Journal of the American Statistical Association, 92(437), 357-367.