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Erratum published on 18 February 2021, see Econometrics 2021, 9(1), 7.
Article

The Discovery of Long-Run Causal Order: A Preliminary Investigation

1
Department of Economics, Duke University, Durham, NC 27708, USA
2
Department of Philosophy, Duke University, Durham, NC 27708, USA
This paper arises out of a joint project with Søren Johansen, Katarina Juselius: they have been inspiring teachers, candid critics, and true friends. I am grateful for earlier collaboration with Morten Nyboe Tabor and for the skeptical, but invaluable, comments of the guest editors for the special issue, Paolo Paruolo and Rocco Mosconi, and three anonymous referees. A very early version of the paper was presented at the Econometrics Conference, Programme for Economic Modelling, University of Oxford, 1–2 September 2014. I thank the participants for valuable comments.
Econometrics 2020, 8(3), 31; https://doi.org/10.3390/econometrics8030031
Received: 10 May 2018 / Revised: 16 July 2020 / Accepted: 23 July 2020 / Published: 3 August 2020
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
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. View Full-Text
Keywords: graphical causal modeling; causal search; cointegrated vector autoregression (CVAR); weak exogeneity; irreducible cointegrating relations graphical causal modeling; causal search; cointegrated vector autoregression (CVAR); weak exogeneity; irreducible cointegrating relations
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MDPI and ACS Style

Hoover, K.D. The Discovery of Long-Run Causal Order: A Preliminary Investigation. Econometrics 2020, 8, 31. https://doi.org/10.3390/econometrics8030031

AMA Style

Hoover KD. The Discovery of Long-Run Causal Order: A Preliminary Investigation. Econometrics. 2020; 8(3):31. https://doi.org/10.3390/econometrics8030031

Chicago/Turabian Style

Hoover, Kevin D. 2020. "The Discovery of Long-Run Causal Order: A Preliminary Investigation" Econometrics 8, no. 3: 31. https://doi.org/10.3390/econometrics8030031

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