Showing 1 - 8 of 8
The pandemic and the war in Ukraine are prompting many to ask whether old macroeconomics still apply? DePillis (2022) notes that profits and inflation are highly correlated, but the direction and strength of the causal path linking them is unknown. This paper briefly describes new causal path...
Persistent link: https://www.econbiz.de/10014082371
Since causal paths are important for all sciences, my package 'generalCorr' provides sophisticated R functions using four orders of stochastic dominance and generalized partial correlation coefficients. A new test (in Version 1.0.3) replaces Hausman-Wu medieval-style diagnosis of endogeneity...
Persistent link: https://www.econbiz.de/10012954758
Usual correlations assume linearity. If new generalized correlations satisfy r*(Y |X) r*(X|Y ), X better predicts Y than vice versa. Then we say that X "causes" Y . Thus, Vinod (2013) revives Granger's instantaneous causality concept. Mooij et al. (2014) and their references seem unaware of...
Persistent link: https://www.econbiz.de/10013026895
Statistically dependent X and Y have conditional density f(Y|X) asymmetrically different from unconditional f(Y). Theorem 1 com- pares two flipped kernel regressions to derive necessary conditions for causal path X -- Y and exogeneity meaning that X is self-driven. Hausman-Wu's indirect...
Persistent link: https://www.econbiz.de/10012915691
A popular F test of Granger-causality relies on normally distributed errors of ordinary least squares (OLS) linear regressions. There is a long-standing need for a user-friendly algorithm replacing the OLS by kernel regressions, and the F test by a bootstrap. This paper introduces a version...
Persistent link: https://www.econbiz.de/10014031310
Karl Pearson developed the correlation coefficient r(X,Y) in 1890s vastly underestimates dependence between two series. Vinod(2014} develops new generalized correlation coefficients so that when r*(Y|X) r*(X|Y) then X is the "kernel cause'' of Y. Vinod (2015) reports simulations favoring kernel...
Persistent link: https://www.econbiz.de/10012860226
Persistent link: https://www.econbiz.de/10012307210
Karl Pearson developed the correlation coefficient r(X,Y) in 1890's. Vinod (2014) develops new generalized correlation coefficients so that when r*(Y|X) r*(X|Y) then X is the "kernel cause" of Y. Vinod (2015a) argues that kernel causality amounts to model selection between two kernel...
Persistent link: https://www.econbiz.de/10012991829