- A-Z
- Jena Economic Resea...
- Volume 4
- Causal Inference by...
Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data
- Autor(in)
- Erschienen
- 11. Mai 2010
- Nummer des Discussion-Papers
-
2010-031
- Schlagwort(e)
-
Causality
Firm Growth
Independent Components Analysis
Monetary Policy
Non-Gaussianity
Structural VAR
- Zusammenfsg.
-
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure underlying the data, and show how the method can be applied to both microeconomic data (processes of firm growth and firm performance) as well as macroeconomic data (effects of monetary policy).
- article pub. typess JER
- Research article
- article languages JER
- Englisch
- JEL-Classification for JER
- C32 - Time-Series Models ; C52 - Model Evaluation and Selection ; D21 - Firm Behavior ; E52 - Monetary Policy ; L21 - Business Objectives of the Firm