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A better understanding of Granger causality analysis : a big data environment.

Song, X. and Taamouti, A. (2019) 'A better understanding of Granger causality analysis : a big data environment.', Oxford bulletin of economics and statistics., 81 (4). pp. 911-936.

Abstract

This paper aims to provide a better understanding of the causal structure in a multivariate time series by introducing several statistical procedures for testing indirect and spurious causal effects. In practice, detecting these effects is a complicated task, since the auxiliary variables that transmit/induce indirect/spurious causality are very often unknown. The availability of hundreds of economic variables makes this task even more difficult since it is generally infeasible to find the appropriate auxiliary variables among all the available ones. In addition, including hundreds of variables and their lags in a regression equation is technically difficult. The paper proposes several statistical procedures to test for the presence of indirect/spurious causality based on big data analysis. Furthermore, it suggests an identification procedure to find the variables that transmit/induce the indirect/spurious causality. Finally, it provides an empirical application where 135 economic variables were used to study a possible indirect causality from money/credit to income.

Item Type:Article
Full text:Publisher-imposed embargo until 19 December 2020.
(AM) Accepted Manuscript
First Live Deposit - 12 November 2018
File format - PDF
(489Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1111/obes.12288
Publisher statement:This is the accepted version of the following article: Song, X. & Taamouti, A. (2019). A better understanding of Granger causality analysis: A big data environment. Oxford Bulletin of Economics and Statistics 81(4): 911-936 which has been published in final form at https://doi.org/10.1111/obes.12288. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Record Created:12 Nov 2018 09:58
Last Modified:16 Jul 2019 14:24

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