Granger Causality and Dynamic Structural Systems
نویسندگان
چکیده
We analyze the relations between Granger (G) non-causality and a notion of structural causality arising naturally from a general nonseparable recursive dynamic structural system. Building on classical notions of G non-causality, we introduce interesting and natural extensions, namely weak G non-causality and retrospective weakG non-causality. We show that structural non-causality and certain (retrospective) conditional exogeneity conditions imply (retrospective) (weak)G non-causality. We strengthen structural causality to notions of (retrospective) strong causality and show that (retrospective) strong causality implies (retrospective) weak G causality. We provide practical conditions and straightforward new methods for testing (retrospective) weak G non-causality, (retrospective) conditional exogeneity, and structural non-causality. Finally, we apply our methods to explore structural causality in industrial pricing, macroeconomics, and nance. Keywords: Causality, Causality Testing, Granger Causality, Exogeneity, Conditional Exogeneity, Structural Systems. JEL Classi cation Numbers: C30, C32, C51, E65
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