Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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Cited in
(only showing first 100 items - show all)- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- Wavelet based time-varying vector autoregressive modelling
- An empirical method for assessing the research relevance gap
- Model specification testing of time series regressions
- Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
- Testing causality using efficiently parametrized vector ARMA models
- ARMAX model specification testing, with an application to unemployment in the Netherlands
- Structural time series modeling: A Bayesian approach
- Bayesian skepticism on unit root econometrics
- Multivariate contemporaneous ARMA model with hydrological applications
- Causality and Markovian representations
- The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
- Testing cointegrating coefficients in vector autoregressive error correction models
- Granger-causality in multiple time series
- Some unresolved issues in the application of control theory to economic policy-making
- On predictive causality in longitudinal studies
- Forecasting in dynamic models with stochastic regressors
- Causality in temporal systems. Characterizations and a Survey
- Modeling the price side of econometric models. An analysis of the underlying hypotheses
- Testing the exogeneity specification in the complete dynamic simultaneous equation model
- The analysis of seasonal economic models
- VARMAX-modelling of blast furnace process variables
- State realization with exogenous variables -- a test on blast furnace data
- Non-causality: The role of the omitted variables
- Cart before the horse? The saving--growth nexus in Mexico
- The relative performance of bivariate causality tests in small samples
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Dynamic linkages between stock prices, accrual earnings and cash flows: A cointegration analysis
- On the relationship between impulse response analysis, innovation accounting and Granger causality
- Encompassing in stationary linear dynamic models
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- A non-parametric approach to non-linear causality testing
- Fitting ARMA time series by structural equation models
- On the relationship between aggregate merger activity and the stock market: some further empirical evidence
- Quantitative estimation of the presence of cause-and-effect relations in a sequence of observation results
- Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
- Feedback, causality and distance between ARMA models.
- Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
- Detecting and testing causality in linear econometric models
- Inference on one-way effect and evidence in Japanese macroeconomic data
- A decision support system for the budgeting of the Belgian health care system
- How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index
- Transfer mutual information: A new method for measuring information transfer to the interactions of time series
- The mutual causality analysis between the stock and futures markets
- A class of universal approximators of real continuous functions revisited
- Extended causal modeling to assess partial directed coherence in multiple time series with significant instantaneous interactions
- Information theoretic interpretation of frequency domain connectivity measures
- Reconstruction of missing data in multivariate processes with applications to causality analysis
- Super-exponential growth expectations and the global financial crisis
- The macroeconomic and fiscal implications of inflation forecast errors
- Improved GMM estimation of panel VAR models
- A nonparametric approach to test for predictability
- A maximum (non-extensive) entropy approach to equity options bid-ask spread
- A constraint optimization approach to causal discovery from subsampled time series data
- Tracking nonlinear correlation for complex dynamic systems using a windowed error reduction ratio method
- Monitoring effective connectivity in the preterm brain: a graph approach to study maturation
- Granger causality-based synaptic weights estimation for analyzing neuronal networks
- Infragranular layers lead information flow during slow oscillations according to information directionality indicators
- Studying the effective brain connectivity using multiregression dynamic models
- Granger causality between vectors of time series: a puzzling property
- Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks
- Measuring network systemic risk contributions: a leave-one-out approach
- Stochastic reaction networks with input processes: analysis and application to gene expression inference
- The windowed scalogram difference: a novel wavelet tool for comparing time series
- Data-based prediction and causality inference of nonlinear dynamics
- Reconstruction of network structures from marked point processes using multi-dimensional scaling
- Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
- On the formulation of empirical models in dynamic econometrics
- A consistent test for nonlinear out of sample predictive accuracy.
- Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status. (With commentaries and responses)
- On exchangeable, causal and cascading failures
- Sharp filters for short sequences
- An experiment on learning with limited information: nonconvergence, experimentation cascades, and the advantage of being slow.
- On a causal analysis of economic time series
- A causality-in-variance test and its application to financial market prices
- Typologies of linear dynamic systems and models
- Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
- A model-free characterization of causality
- A Lagrange multiplier test for causality in variance
- A time series analysis of economical phenomena in Japan's lost decade (1): determinacy property of the velocity of money and equilibrium solution
- A discrete element study of settlement in vibrated granular layers: role of contact loss and acceleration
- Phenotypic evolution studied by layered stochastic differential equations
- Significance testing in quantile regression
- Testing linear causality in mean when the number of estimated parameters is high
- A fault prognosis strategy based on time-delayed digraph model and principal component analysis
- On the Hsiao definition of non-causality
- Demand forecasting of individual probability density functions with machine learning
- Partial directed coherence: twenty years on some history and an appraisal
- Causality between stopped filtrations and some applications
- On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
- Reconstruction of ensembles of generalized van der Pol oscillators from vector time series
- Modeling trading behavior in the Japanese stock market during QE tapering and post-QE exit
- Detecting direct causality in multivariate time series: a comparative study
- Application of time-delay multiscale symbolic phase compensated transfer entropy in analyzing cyclic alternating pattern (CAP) in sleep-related pathological data
- Inflation and bitcoin: a descriptive time-series analysis
- Confounding ghost channels and causality: a new approach to causal information flows
- Does terrorism trigger online hate speech? On the association of events and time series
- On the determinants of data breaches: a cointegration analysis
- Say anything you want about me if you spell my name right: the effect of Internet searches on financial market
- Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression
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