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Title:Causal inference by independent component analysis with applications to micro- and macroeconomic data PDF Logo
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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