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Title:Learning Causal Relations in Multivariate Time Series Data PDF Logo
Authors:Chen, Pu
Chihying, Hsiao
Issue Date:2007
Citation:[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 1 [Issue:] 2007-11 [Pages:] 1-43 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2007-11
Series/Report no.:economics - The Open-Access, Open-Assessment E-Journal 2007-11
Abstract:Applying a probabilistic causal approach, we define a class of time series causal models (TSCM) based on stationary Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify TSCMs into observationally equivalent classes by providing a necessary and sufficient condition for the observational equivalence. Applying an automated learning algorithm, we are able to consistently identify the data-generating causal structure up to the class of observational equivalence. In this way we can characterize the empirical testable causal orders among variables based on their observed time series data. It is shown that while an unconstrained VAR model does not imply any causal orders in the variables, a TSCM that contains some empirically testable causal orders implies a restricted SVAR model. We also discuss the relation between the probabilistic causal concept presented in TSCMs and the concept of Granger causality. It is demonstrated in an application example that this methodology can be used to construct structural equations with causal interpretations.
Subjects:Automated Learning
Bayesian Network
Inferred Causation
VAR
Wage-Price Spiral
JEL:C1
Persistent Identifier of the first edition:doi:10.5018/economics-ejournal.ja.2007-11
URL of the first edition:http://www.economics-ejournal.org/economics/journalarticles/2007-11
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Article
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

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