Graphical causal models and VARs: An empirical assessment of the real business cycles hypothesis

Empirical Economics

Volumn 35, Issue 2, 2008, Pages 275-300

  Moneta, Alessio ^a  

^a MAX PLANCK INSTITUTE FOR THE SCIENCE OF HUMAN HISTORY   (Germany)

Author keywords

Business cycles; Causality; Directed acyclic graphs; Impulse response functions; Structural VARs

Indexed keywords

BUSINESS CYCLE; CORRELATION; EMPIRICAL ANALYSIS; GRANGER CAUSALITY TEST; HYPOTHESIS TESTING; IDENTIFICATION METHOD; MONETARY POLICY; NUMERICAL MODEL; VECTOR AUTOREGRESSION;

NORTH AMERICA; UNITED STATES;

EID: 51649086960     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-007-0159-9     Document Type: Article

References (35)

1. Anderson TW (1958). An introduction to multivariate statistical analysis. Wiley, New York
2. Awokuse TO and Bessler DA (2003). Vector autoregressions, policy analysis and directed acyclic graphs: An application to the U.S. economy. J Appl Econ 6: 1-24
3. Bernanke BS (1986). Alternative explanations of the money-income correlation. Carnegie-Rochester Conference Series on Public Policy 25: 49-100
4. Bessler DA and Lee S (2002). Money and prices: US data 1869-1914 (a study with directed graphs). Emp Econ 27: 427-446
5. Bessler DA and Yang J (2003). The structure of interdependence in international stock markets. J Int Money Financ 22: 261-287
6. Demiralp S and Hoover KD (2003). Searching for the causal structure of a vector autoregression. Oxf Bull Econ Stat 65: 745-767
7. Doan TA (2000). RATS version 5, user's Guide. Estima, Evanston
8. Faust J and Leeper EM (1997). When do long-run identifying restrictions give reliable results?. J Buss Econ Stat 15: 345-353
9. Granger CWJ (1988). Some recent developments in a concept of causality. J Economet 39: 199-211
10. Haigh M and Bessler DA (2004). Causality and price discovery: An application of directed acyclic graphs. J Buss 77: 1099-1121
11. Hamilton J (1994). Time series analysis. Princeton University Press, Princeton
12. Hoover KD (2001). Causality in macroeconomics. Cambridge University Press, Cambridge
13. Johansen S (1988). Statistical analysis of cointegrating vectors. J Econ Dyn Control 12: 231-254
14. Johansen S (1991). Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models. Econometrica 59: 1551-1580
15. King RG, Plosser CI, Stock JH and Watson MW (1991). Stochastic trends and economic fluctuations. Am Econ Rev 81: 819-840
16. Lauritzen SL (2001). Causal inference from graphical models. In: Barndorff-Nielsen, E, Cox, DR and Klüppelberg, C (eds) Complex stochastic systems., pp. CRC Press, London
17. Lauritzen SL and Richardson TS (2002). Chain graph models and their causal interpretations. J R Stat Soc 64: 321-361
18. Lehmann EL and Casella G (1998). Theory of point estimation. Springer, New York
19. Lütkepohl H (1991). Introduction to multiple time series analysis. Springer, Berlin
20. Moneta A (2003). Graphical models for structural vector autoregressions. LEM working paper series, Sant'Anna School of Advanced Studies, Pisa
21. Moneta A (2004a) Graphical causal models and VAR-based macroeconometrics. Unpublished Ph.D. Thesis, Sant'Anna School of Advanced Studies, Pisa
22. Moneta A (2004). Identification of monetary policy shocks: A graphical causal approach. Notas Económicas 20: 39-62
23. Pearl J (1988). Probabilistic reasoning in intelligent systems. Morgan Kaufmann, San Francisco
24. Pearl J (2000). Causality: Models, reasoning and inference. Cambridge University Press, Cambridge
25. Reale M and Tunnicliffe W (2001). Identification of vector AR models with recursive structural errors using conditional independence graphs. Stat Math Appl 10: 49-65
26. Richardson T and Spirtes P (1999). Automated discovery of linear feedback models. In: Glymour, C and Cooper, GF (eds) Computation, causation and discovery, pp. AAAI Press and MIT Press, Menlo Park
27. Scheines R, Spirtes P, Glymour C and Meek C (1994). TETRAD 2: User's manual and software. Lawrence Erlbaum Associates, New Jersey
28. Sims CA (1980). Macroeconomics and reality. Econometrica 48: 1-47
29. Spirtes P, Scheines R, Meek C, Richardson T, Glymour C, Hoijtink H, Boomsma A (1996) TETRAD 3: Tools for Causal Modeling, at http://www.phil.cmu.edu/tetrad/tet3/master.htm
30. Spirtes P, Glymour C and Scheines R (2000). Causation, prediction, and search. MIT Press, Cambridge
31. Spohn W (1980). Stochastic independence, causal independence and shield-ability. J Phil Logic 9: 73-99
32. Stock JH and Watson MW (2001). Vector autoregressions. J Econ Perspect 15: 101-115
33. Swanson NR and Granger CWJ (1997). Impulse response function based on a causal approach to residual orthogonalization in vector autoregressions. J Am Stat Assoc 92: 357-367
34. Whittaker J (1990). Graphical models in applied multivariate statistics. Wiley, Chichester
35. Zellner A (1962). An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. J Am Stat Assoc 57: 348-368