Granger causality and path diagrams for multivariate time series

By Michael Eichler. 2007

258 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/143432fd1b31bdc61c16b37b296f4f33807bd392

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

In Statistics and Probability

Citations in the corpus

Causal interpretation of stochastic differential equations (2013, unknown): “For discrete-time results, see for example [9, 10, 11].”
Causality, mediation and time: a dynamic viewpoint (2012, methodology): “Following Emsley et al. (2010), page 250, we make the assumption that the direct effect is independent of the reference treatment; hence we can write it as Y.a1, S2/−Y.a2, S2/. Using a1 as a reference treatment for the indirect effect yields Y.a1, S1/ − Y.a1, S2/. Adding up the direct and the indire”
The Gaussian Graphical Model in Cross-Sectional and Time-Series Data (2016, background): “Temporal prediction is central to the concept of Granger causality in the economic literature (Eichler, 2007; Granger, 1969), and it satisfies at least the temporal requirement for causation (i.e., the cause must precede  Note, in graph theory it is common to encode a network using a weights…”
A network analysis of the volatility of high dimensional financial series (2017, methodology): “Such graphical representations of VAR dependences were initially proposed by Dahlhaus and Eichler (2003) and Eichler (2007), and extend to a time series context the graphical models for independent data that were considered by Dempster (1972), Meinshausen and Bühlmann (2006), Friedman et al.…”
Network analysis: an integrative approach to the structure of psychopathology. (2013, background): “In a next step, one could attempt to determine directed acyclic graph structures for this type of data (Eichler 2007, Wild et al. 2007).”
Granger Causality: A Review and Recent Advances (2021, background): “Network Granger causality aims to adjust for possible confounders or jointly consider multiple series (Eichler, 2007; Basu et al., 2015).”
NETS: Network estimation for time series (2019, unknown): “Several network representations can be associated with a VAR system (Dahlhaus, 2000; Diebold & Yılmaz, 2014; Eichler, 2007).”
Testing nonparametric and semiparametric hypotheses in vector stationary processes (2008, background): “[24] M. Eichler, A frequency-domain based test for independence between stationary time series, Metrika 65 (2007) 133–157.”