Kwon, Dae-Heum; Bessler, David A. Graphical methods, inductive causal inference, and econometrics: a literature review. (English) Zbl 1214.62118 Comput. Econ. 38, No. 1, 85-106 (2011). Summary: Recent work with graphical methods for inductive causal inference with observational econometric data is reviewed and compared with earlier work. Two alternative algorithms are described. Caveats on applications are discussed. Cited in 1 Document MSC: 62P20 Applications of statistics to economics 05C90 Applications of graph theory 65C60 Computational problems in statistics (MSC2010) 05C20 Directed graphs (digraphs), tournaments 62-00 General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to statistics Keywords:machine learning; directed acyclic graphs; Markov condition; causality Software:FastICA; TETRAD PDFBibTeX XMLCite \textit{D.-H. Kwon} and \textit{D. A. Bessler}, Comput. Econ. 38, No. 1, 85--106 (2011; Zbl 1214.62118) Full Text: DOI References: [1] Berkson J. (1946) Limitations of the application of fourfold table analysis to hospital data. Biometrics Bulletin 2: 47–53 [2] Bernanke, B. S. (1986). Alternative explanations of the money-income correlation. National Bureau of Economic Research (NBER) Working Paper No. W1842. [3] Bessler D. A., Covey T. (1993) On the search for econometric structure in agriculture. American Journal of Agricultural Economics 75(4): 41–47 [4] Bessler D. A., Akleman D. G. (1998) Farm prices, retail prices, and directed graphs: Results for pork and beef. American Journal of Agricultural Economics 80(5): 1145–1150 [5] Bouckaert, R. R. (1993). IDAGs: A perfect map for any distribution. Symbolic and quantitative approaches to reasoning and uncertainty (pp. 49–56). New York: Springer-Verlag. [6] Bryant H. L., Bessler D. A., Haigh M. S. (2009) Disproving causal relationships using observational data. Oxford Bulletin of Economics and Statistics 71(3): 357–374 [7] Buntine W. L. (1996) A guide to the literature on learning probabilistic networks from data. IEEE Transactions on Knowledge and Data Engineering 8: 195–210 · Zbl 05109019 [8] Chickering D. M. (2002) Optimal structure identification with greedy search. Journal of Machine Learning Research 3: 507–554 · Zbl 1084.68519 [9] Christiano L., Eichenbaum M., Evans C. (1999) Monetary policy shocks: What have we learned and to what end?. In: Taylor J. B., Woodford M. (eds) Handbook of macroeconomics. Elsevier, Amsterdam [10] Cooper G. F. (1999) An overview of the representation and discovery of causal relationships using Bayesian networks. In: Glymour C., Cooper G. F. (eds) Computation, causation, and discovery. American Association for Artificial Intelligence, Menlo Park CA and MIT Press, Cambridge, MA, pp 3–64 [11] Demiralp S., Hoover K. D. (2003) Searching for the causal structure of a vector autoregression. Oxford Bulletin of Economics and Statistics 65: 745–767 [12] Dodge Y., Rousson V. (2001) On asymmetric properties of the correlation coefficient in regression setting. American Statistician 55(1): 51–54 [13] Granger C. W. J. (1969) Investigating causal relations by econometric models and cross-spectral method. Econometrica 37(3): 424–438 · Zbl 1366.91115 [14] Granger C. W. J. (1980) Testing for causality, a personal viewpoint. Journal of Economic Dynamic and Control 2(4): 329–352 [15] Green W. H. (2003) Econometric analysis (5th ed.). Prentice-Hall, New Jersey [16] Haavelmo T. (1944) The probability approach in econometrics. Econometrica 12: 1–115 · Zbl 0063.01837 [17] Haigh M., Bessler D. A. (2004) Causality and price discovery: An application of directed acyclic graphs. Journal of Business 77: 1097–1121 [18] Heckerman, D. (1996). A tutorial on learning Bayesian networks. Microsoft Research, Technical Report MSR-TR-95-06. · Zbl 0921.62029 [19] Holland P. W. (1986) Statistics and causal inference. Journal of the American Statistical Association 81(396): 945–960 · Zbl 0607.62001 [20] Hoover K.D. (2006) Causality in economics and econometrics. In: Durlauf S. (eds) The new Palgrave dictionary of economics (2nd ed.). Macmillan, New York [21] Hoover K. D., Perez S. J. (1999) Data mining reconsidered: Encompassing and the general-to-specific approach to specification search. Econometrics Journal 2: 167–191 [22] Hoyer, P. O., Hyvärinen, A., Scheines, R., Spirtes, P., Ramsey, J., Lacerda, G., et al. (2008). Causal discovery of linear acyclic models with arbitrary distributions. In Proceedings of the 24th conference on uncertainty in artificial intelligence, Helsinki, Finland. [23] Hume, D. (1748) An enquiry concerning human understanding. In T. H. Greene & T. H. Grose (Eds.) The philosophical works, vol 4. Aalen: Scientia. 1964. [24] Hyvärinen, A., Karhunen, J., & Oja, E. (2001). Independent component analysis. : Wiley Interscience. [25] Kim, J. H., & Pearl, J. (1983). A computational model for combined causal and diagnostic reasoning in inference systems. Cognitive Systems Laboratory, University of California, Los Angeles, Technical Report R-25. [26] Kocka, T., Bouckaert, R. R., & Studeny, M. (2001). On characterizing inclusion of Bayesian networks. In: J. Breese, & D. Koller (Eds.), Proceedings of the 17th conference on uncertainty in artificial intelligence (pp. 261–268). [27] Kwon, D. H. (2007). Causality and aggregation in economics: The use of high dimensional panel data in micro-econometrics and macro-econometrics. Ph.D. thesis, Texas A&M University. [28] Lewis D. (1986) Philosophical papers. Oxford University Press, New York · Zbl 0914.01028 [29] Lütkepohl H. (2007) General-to-specific or specific-to-general modelling? An opinion on current econometric terminology. Journal of Econometrics 136: 319–324 · Zbl 1418.62510 [30] Meek, C. (1995a). Causal inference and causal explanation with background knowledge. In S. Hanks & P. Besnard (Eds.), Proceedings of the 11th conference on uncertainty in artificial intelligence (pp. 403–418). [31] Meek, C. (1995b). Strong completeness and faithfulness in Bayesian networks. In S. Hanks & P. Besnard (Eds.), Proceedings of 11th conference on uncertainty in artificial intelligence (pp. 411–418). [32] Meek, C. (1997). Graphical models: Selecting causal and statistical models. Ph.D. thesis, Carnegie Mellon University. [33] Moneta A. (2008) Graphical causal models and VARs: An empirical assessment of the real business cycles hypothesis. Empirical Economics 35: 275–300 [34] Moneta, A., & Spirtes, P. (2006). Graphical models for the identification of causal structures in multivariate time series models. In H. D. Cheng, S. D. Chen, & R. Y. Lin (Eds.), Proceedings of 9th joint conference on information sciences (pp. 36–68). [35] Pearl, J. (1985). Bayesian networks: A model of self-activated memory for evidential reasoning. Department of Computer Science, University of California, Los Angeles, Technical Report No. 950021. [36] Pearl J. (1988) Probabilistic reasoning in intelligent systems. Morgan Kaufmann, San Mateo · Zbl 0649.68104 [37] Pearl J. (2000) Causality: Models, reasoning, and inference. Cambridge University Press, Cambridge · Zbl 0959.68116 [38] Pearl, J., & Verma, T. (1991). A theory inferred causation. In J. A. Allen, R. Fikes, & E. Sandewall (Eds.), Proceedings of the 2nd international conference on principles of knowledge representation and reasoning (pp. 441–452). · Zbl 0765.68177 [39] Perez S. J., Siegler M. V. (2006) Agricultural and monetary shocks before the great depression: A graph-theoretic causal investigation. Journal of Macroeconomics 28: 720–736 [40] Richardson T., Spirtes P. (1999) Automated discovery of linear feedback models. In: Glymour C., Cooper G. F. (eds) Computation, causation and discovery. MIT Press, Menlo Park [41] Robinson, R. W. (1977). Counting unlabeled acyclic digraphs. In C. H. C. Little (Ed.), Combinatorial mathematics, Springer lecture notes in mathmatics (Vol. 622). Berlin: Springer. · Zbl 0376.05031 [42] Salthe S. N. (2004) The spontaneous origin of new levels in a scalar hierarchy. Entropy 6: 327–343 [43] Sangüesa R., Cortés U. (1997) Learning works from data: A survey and a new algorithm for recovering possibilistic causal networks. AI Communications 10: 31–61 [44] Shimizu S., Hoyer P., Hyvärinen A., Kerminen A. (2006a) A linear non-Gaussian acyclic model for causal discovery. The Journal of Machine Learning Research 7: 2003–2030 · Zbl 1222.68304 [45] Shimizu S., Hyvärinen A., Hoyer P., Kano Y. (2006b) Finding a causal ordering via independent component analysis. Computational Statistics and Data Analysis 50(11): 3278–3293 · Zbl 1445.62135 [46] Simon H. (1953) Causal ordering and identifiability. In: Hood W. C., Koopmans T. C. (eds) Studies in econometric methods. Wiley, New York, pp 49–74 [47] Sims C. A. (1980) Macroeconomics and reality. Econometrica 48: 1–48 [48] Sims C. A. (1992) Interpreting the macroeconomic time series facts: The effects of monetary policy. European Economic Review 36: 975–1000 [49] Spirtes P., Glymour C., Scheines R. (1991) An algorithm for fast recovery of sparse causal graphs. Social Science Computer Review 9: 62–72 [50] Spirtes P., Glymour C., Scheines R. (2000) Causation, prediction, and search (2nd ed.). MIT Press, New York · Zbl 0806.62001 [51] Spirtes, P., & Meek, C. (1995). Learning Bayesian networks with discrete variables form data. In U. M. Fayyad & R. Uthurumsamy, (Eds.), Proceedings of 1st international conference on knowledge discovery and data mining (pp. 294–299). [52] Suppes P. (1970) A probabilistic theory of causality. North-Holland, Amsterdam · Zbl 0232.68029 [53] Swanson N. R., Granger C. W. J. (1997) Impulse response function based on a causal approach to residual orthogonalization in vector autoregressions. Journal of the American Statistical Association 92: 357–367 · Zbl 0889.62076 [54] Verma, T., & Pearl, J. (1990). Equivalence and synthesis of causal models. Cognitive Systems Laboratory, University of California, Los Angeles, Technical Report R-150. [55] Verma, T., & Pearl, J. (1992). An algorithm for deciding if a set of observed independencies has a causal explanation. Cognitive Systems Laboratory, University of California, Los Angeles, Technical Report R-177. [56] Vitale J., Bessler D. A. (2006) On the discovery of millet prices in mali. Papers in Regional Science 85(1): 139–162 [57] Woodward J. (2003) Making things happen: A theory of causal explanation. Oxford University Press, Oxford [58] Yu T.-H., Bessler D. A., Fuller S. W. (2007) Price dynamics in U.S. grain and freight markets. Canadian Journal of Agricultural Economics 55(1): 381–397 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.