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Searching for the Causal Structure of a Vector Autoregression
2003
Social Science Research Network
We provide an accessible introduction to graph-theoretic methods for causal analysis. generalizing to a larger class of models, we show how to apply graph-theoretic methods to selecting the causal order for a structural vector autoregression (SVAR). We evaluate the PC (causal search) algorithm in a Monte Carlo study. The PC algorithm uses tests of conditional independence to select among the possible causal orders -or at least to reduce the admissible causal orders to a narrow equivalence
doi:10.2139/ssrn.388840
fatcat:v2w2hxixwndzxbqtxl7zqlwl5q