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Causal inference by independent component analysis: theory and applications
journal contribution
posted on 2023-06-08, 12:10 authored by Alessio Moneta, Doris Entner, Patrik O Hoyer, Alex CoadStructural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this study, we present a recently developed method for estimating such models, which uses non-normality to recover the causal structure underlying the observations. We show how the method can be applied to both microeconomic data (to study the processes of firm growth and firm performance) and macroeconomic data (to analyse the effects of monetary policy).
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Publication status
- Published
Journal
Oxford Bulletin of Economics and StatisticsISSN
1468-0084Publisher
Wiley-BlackwellExternal DOI
Issue
5Volume
75Page range
705-730Department affiliated with
- SPRU - Science Policy Research Unit Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-08-13Usage metrics
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