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Graphical models for structural vector autoregressions

Moneta, Alessio (contributor) - 2005 - [Elektronische Ressource]

The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to deal with this problem. Graphical models, which provide a rigorous language to analyze the statistical and logical properties of causal relations, associate a particular set of...

Persistent link: https://www.econbiz.de/10002133841

Some peculiarities of the concept of causality in macroeconometrics

Moneta, Alessio - In: History of economic ideas : HEI 13 (2005) 3, pp. 57-82

Persistent link: https://www.econbiz.de/10003328194

Graphical causal models and VARs : an empirical assessment of the real business cycles hypothesis

Moneta, Alessio - In: Empirical economics : a journal of the Institute for … 35 (2008) 2, pp. 275-300

Persistent link: https://www.econbiz.de/10003758009

Causality in macroeconometrics : some considerations about reductionism and realism

Moneta, Alessio - In: The journal of economic methodology 12 (2005) 3, pp. 433-453

Persistent link: https://www.econbiz.de/10003204024

Causal inference by independent component analysis with applications to micro- and macroeconomic data

Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - 2010

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

Persistent link: https://www.econbiz.de/10010269741