Causal Inference by Independent Component Analysis: Theory and Applications*

Autor:	Alex Coad, Patrik O. Hoyer, Alessio Moneta, Doris Entner
Rok vydání:	2012
Předmět:	Statistics and Probability Economics and Econometrics Cointegration Monetary policy Separation (statistics) Causal structure Independent component analysis Causal inference Econometrics Economics Statistics Probability and Uncertainty Macro Social Sciences (miscellaneous) Panel data
Zdroj:	Oxford Bulletin of Economics and Statistics. 75:705-730
ISSN:	0305-9049
DOI:	10.1111/j.1468-0084.2012.00710.x
Popis:	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).
Databáze:	OpenAIRE
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