Granger causality and path diagrams for multivariate time series
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Publication:276915
DOI10.1016/J.JECONOM.2005.06.032zbMATH Open1360.62455OpenAlexW2065454200MaRDI QIDQ276915FDOQ276915
Authors: Michael Eichler 
Publication date: 4 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.032
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (44)
- Graphical modeling of dynamic relationships in multivariate time series
- Identification of nonlinear VAR models using general conditional independence graphs
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Graphical models for nonstationary time series
- Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
- Granger causality using Jacobian in neural networks
- Large Spillover Networks of Nonstationary Systems
- An Algebraic Estimator for Large Spectral Density Matrices
- Dynamic network reconstruction from heterogeneous datasets
- Unifying Markov properties for graphical models
- Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria
- Causal conditioning and instantaneous coupling in causality graphs
- Detecting groups in large vector autoregressions
- Graphical modelling of multivariate time series
- On Granger causality and the effect of interventions in time series
- Geometric and long run aspects of Granger causality
- Conditional independence graph for nonlinear time series and its application to international financial markets
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Relating the network graphs of state-space representations to Granger causality conditions
- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- Directed information graphs for the Granger causality of multivariate time series
- The impact of latent confounders in directed network analysis in neuroscience
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- A note on marginal and conditional independence
- Directed graphs and variable selection in large vector autoregressive models
- Learning minimal latent directed information polytrees
- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- Trimmed Granger causality between two groups of time series
- Multivariate time series analysis
- Graphical modeling of stochastic processes driven by correlated noise
- Measuring frequency domain Granger causality for multiple blocks of interacting time series
- Causality and separability
- Testing coefficients of AR and bilinear time series models by a graphical approach
- Multiple testing and error control in Gaussian graphical model selection
- Granger causality between vectors of time series: a puzzling property
- Mixed orthogonality graphs for continuous-time stationary processes
- Statistical causality for multivariate nonlinear time series via Gaussian process models
- Detection of information flow in major international financial markets by interactivity network analysis
- Granger causality for circular variables
- The Convex Mixture Distribution: Granger Causality for Categorical Time Series
- Graphs for Dependence and Causality in Multivariate Time Series
- Monotone dependence in graphical models for multivariate Markov chains
- Graphical models for multivariate Markov chains
- Causal inference with multiple time series: principles and problems
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