Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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Publication:5283191
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Cited in
(only showing first 100 items - show all)- Causality detection in cortical seizure dynamics using cross-dynamical delay differential analysis
- Causality in extremes of time series
- Granger causality from quantized measurements
- Forecasting Stock Return Volatility Using the Realized Garch Model and an Artificial Neural Network
- Multivariate conditional Granger causality analysis for lagged response of soil respiration in a temperate forest
- Simulation study of direct causality measures in multivariate time series
- Statistical mechanics and information-theoretic perspectives on complexity in the Earth system
- Multivariate causality tests with simulation and application
- Causality: a statistical view
- VARMAX-modelling of blast furnace process variables
- State realization with exogenous variables -- a test on blast furnace data
- Granger causality and the sampling of economic processes
- Time series experiments and causal estimands: exact randomization tests and trading
- Unified asymptotic theory for all partial directed coherence forms
- Granger causality in risk and detection of extreme risk spillover between financial markets
- The windowed scalogram difference: a novel wavelet tool for comparing time series
- scientific article; zbMATH DE number 7644904 (Why is no real title available?)
- 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
- Statistical causality and adapted distribution
- Multivariate contemporaneous ARMA model with hydrological applications
- Finding a causal ordering via independent component analysis
- Pricing default events: surprise, exogeneity and contagion
- Is there a causal relationship between oil prices and tourist arrivals?
- A statistical framework to infer delay and direction of information flow from measurements of complex systems
- Modeling trading behavior in the Japanese stock market during QE tapering and post-QE exit
- Causal information approach to partial conditioning in multivariate data sets
- Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
- On unstable and unoptimal prediction
- Graphical modelling of multivariate time series
- Statistical causality and stable subspaces of \(H^p\)
- PREDICTABILITY IMPROVEMENT AS AN ASYMMETRICAL MEASURE OF INTERDEPENDENCE IN BIVARIATE TIME SERIES
- A general definition of influence between stochastic processes
- On Granger causality and the effect of interventions in time series
- Differential equations in data analysis
- Uncovering Characteristic Response Paths of a Population
- Testing for Granger causality in large mixed-frequency VARs
- Modeling the functional network of primary intercellular Ca\(^{2+}\) wave propagation in astrocytes and its application to study drug effects
- Causation and information flow with respect to relative entropy
- Information theory in neuroscience
- On exchangeable, causal and cascading failures
- Sharp filters for short sequences
- Cart before the horse? The saving--growth nexus in Mexico
- The relative performance of bivariate causality tests in small samples
- Uncovering causality from multivariate Hawkes integrated cumulants
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Geometric and long run aspects of Granger causality
- Fitting ARMA time series by structural equation models
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- Sensitivity of the causality in variance tests to GARCH(1,1) processes
- Panel Data Analysis
- Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
- An experiment on learning with limited information: nonconvergence, experimentation cascades, and the advantage of being slow.
- Non-causality in bivariate binary time series
- Nonresponse in dynamic panel data models
- Short run and long run causality in time series: inference
- Testing for short- and long-run causality: a frequency-domain approach
- Time-series estimation of the effects of natural experiments
- Incorporating causality in energy consumption forecasting using deep neural networks
- A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series
- Forecasting, interventions and selection: the benefits of a causal mortality model
- Robust residual cross correlation tests for lagged relations in time series
- Granger-causality in Markov switching models
- News and narratives in financial systems: exploiting big data for systemic risk assessment
- Statistical causality and martingale representation property with application to stochastic differential equations
- An empirical re-examination of the dividend–investment relation
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Coupled network approach to predictability of financial market returns and news sentiments
- Clive W. J. Granger and cointegration
- Detecting changes in coupling with Granger causality method from time series with fast transient processes
- On multivariable matrix spectral factorization method
- Probing Changes in Neural Interaction During Adaptation
- A new causal discovery heuristic
- Reliability of inference of directed climate networks using conditional mutual information
- Scale dependence of the directional relationships between coupled time series
- News, volatility and jumps: the case of natural gas futures
- Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks
- Linear transformations of vector ARMA processes
- Significance testing in quantile regression
- Transfer entropy expressions for a class of non-Gaussian distributions
- Copula directional dependence of discrete time series marginals
- Testing cointegrating coefficients in vector autoregressive error correction models
- A model-free characterization of causality
- An approach to causal modeling in fuzzy environment and its application
- Reconstruction of missing data in multivariate processes with applications to causality analysis
- Lasso Granger causal models: some strategies and their efficiency for gene expression regulatory networks
- Testing for Granger-causality in quantiles
- Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
- Multivariate Granger causality: an estimation framework based on factorization of the spectral density matrix
- On hysteretic vector autoregressive model with applications
- The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
- How do mobility restrictions and social distancing during COVID-19 affect oil price?
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
- 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
- Causal deep learning: encouraging impact on real-world problems through causality
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
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