Chihying, Hsiao; Chen, Pu - Institut für Weltwirtschaft (IfW) - 2007
Applying a probabilistic causal approach, we define a class of time series causal models (TSCM) based on stationary Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify TSCMs into observationally equivalent classes by...