Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247579 
Year of Publication: 
2020
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn from the literature on graphical causal modeling. It is assumed that the fundamental source of trending behavior is transmitted from exogenous (and typically latent) trending variables to a set of causally ordered variables that would not themselves display nonstationary behavior if the nonstationary exogenous causes were absent. The possibility of inferring the long-run causal structure among a set of time-series variables from an exhaustive examination of weak exogeneity in irreducibly cointegrated subsets of variables is explored and illustrated.
Subjects: 
causal search
cointegrated vector autoregression (CVAR)
graphical causal modeling
irreducible cointegrating relations
weak exogeneity
JEL: 
C32
C51
C18
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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