Causal Inference by Independent Component Analysis: Theory and Applications∗
نویسندگان
چکیده
Structural vector-autoregressive models are potentially very useful tools for guiding both macroand microeconomic policy. In this paper, we present a recently developed method for estimating such models, which uses nonnormality 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 analyze the effects of monetary policy).
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