Linking Granger Causality and the Pearl Causal Model with Settable Systems

Halbert White, Karim Chalak () and Xun Lu
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Xun Lu: Hong Kong University of Science and Technology

No 744, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl's Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each relates to straightforward notions of direct causality embodied in settable systems, an extension and refinement of the Pearl Causal Model designed to accommodate optimization, equilibrium, and learning. We then provide straightforward practical methods to test for direct causality using tests for Granger causality.

Keywords: Causal Models; Conditional Exogeneity; Conditional Independence; Granger Non-causality (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Date: 2010-08-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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