Causal ordering and inference on acyclic networks

Autor:	Samarjit Das, Arnab Bhattacharjee, Gopal K. Basak
Rok vydání:	2018
Předmět:	Statistics and Probability Economics and Econometrics Theoretical computer science Computer science Lag 05 social sciences Inference Sample (statistics) Directed acyclic graph Matrix (mathematics) Identification (information) Mathematics (miscellaneous) 0502 economics and business Portfolio 050207 economics Social Sciences (miscellaneous) 050205 econometrics
Zdroj:	Empirical Economics. 55:213-232
ISSN:	1435-8921 0377-7332
DOI:	10.1007/s00181-018-1454-3
Popis:	This paper develops a new identification result for the causal ordering of observation units in a recursive network or directed acyclic graph. Inferences are developed for an unknown spatial weights matrix in a spatial lag model under the assumption of recursive ordering. The performance of the methods in finite sample settings is very good. Application to data on portfolio returns produces interesting new evidences on the contemporaneous lead–lag relationships between the portfolios and generates superior predictions.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ce82edd644b03c1d1824ecb370064ce2 https://doi.org/10.1007/s00181-018-1454-3 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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