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http://hdl.handle.net/10419/36664
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| Title: | | Causal inference by independent component analysis with applications to micro- and macroeconomic data  |
| Authors: | | Moneta, Alessio Entner, Doris Hoyer, Patrik Coad, Alex |
| Issue Date: | | 2010 |
| Series/Report no.: | | Jena economic research papers 2010,031 |
| Abstract: | | Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure underlying the data, and show how the method can be applied to both microeconomic data (processes of firm growth and firm performance) as well as macroeconomic data (effects of monetary policy). |
| Subjects: | | Causality Structural VAR Independent Components Analysis Non-Gaussianity Firm Growth Monetary Policy |
| JEL: | | C32 C52 D21 E52 L21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Jena Economic Research Papers, MPI für Ökonomik
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