Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/247579 
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Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-24
Verlag: 
MDPI, Basel
Zusammenfassung: 
The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn from the literature on graphical causal modeling. It is assumed that the fundamental source of trending behavior is transmitted from exogenous (and typically latent) trending variables to a set of causally ordered variables that would not themselves display nonstationary behavior if the nonstationary exogenous causes were absent. The possibility of inferring the long-run causal structure among a set of time-series variables from an exhaustive examination of weak exogeneity in irreducibly cointegrated subsets of variables is explored and illustrated.
Schlagwörter: 
causal search
cointegrated vector autoregression (CVAR)
graphical causal modeling
irreducible cointegrating relations
weak exogeneity
JEL: 
C32
C51
C18
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