Searching for the Causal Structure of a Vector Autoregression

Kevin D. Hoover, Selva Demiralp
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
more » ... Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. I. The problem of causal order Drawing on recent work on the graph-theoretic analysis of causality, we propose and evaluate a statistical procedure for identifying the contemporaneous causal order of a structural vector autoregression. *We thank Marcus Cuda for his help with programming and computational design, Derek Stimel and Ryan Brady for able research assistance, and to
doi:10.2139/ssrn.388840 fatcat:v2w2hxixwndzxbqtxl7zqlwl5q