Causal inference by independent component analysis: theory and applications

Moneta, Alessio, Entner, Doris, Hoyer, Patrik O and Coad, Alex (2012) Causal inference by independent component analysis: theory and applications. Oxford Bulletin of Economics and Statistics. ISSN 1468-0084

Full text not available from this repository.

Abstract

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this study, we present a recently developed method for estimating such models, which uses non-normality to recover the causal structure underlying the observations. We show how the method can be applied to both microeconomic data (to study the processes of firm growth and firm performance) and macroeconomic data (to analyse the effects of monetary policy).

Item Type: Article
Additional Information: Online First Publication
Schools and Departments: School of Business, Management and Economics > SPRU - Science Policy Research Unit
Subjects: H Social Sciences > HA Statistics
Depositing User: Alex Coad
Date Deposited: 13 Aug 2012 10:00
Last Modified: 13 Aug 2012 10:00
URI: http://sro.sussex.ac.uk/id/eprint/40299
📧 Request an update