Graph-theoretic methods of causal search based on the ideas of Pearl (2000), Spirtes et al. (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal order for the structural vector autoregression, rather than, as is typically done, assuming a weakly justified Cholesk...

Many applications naturally involve time series data and the vector autoregression (VAR), and the structural VAR (SVAR) are dominant tools to investigate relations between variables in time series. In the first part of this work, we show that the SVAR method is incapable of identifying contemporaneous causal relations for Gaussian process. In addition, least squares estimators become unreliable...

The gut microbiome is a dynamic system that changes with host development, health, behavior, diet, and microbe-microbe interactions. Prior work on gut microbial time series has largely focused on autoregressive models (e.g. Lotka-Volterra). However, we show that most of the variance in microbial time series is non-autoregressive. In addition, we show how community state-clustering is flawed whe...

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and tra...

We analyze how an increasing share of Renewable Energy Sources on Electricity generation (RES-E) affects Gross Domestic Product (GDP) and Carbon Dioxide (CO2) emissions using a 3 variable Structural Vector Autoregressive (SVAR) methodology. We used a sample of four countries with different levels of economic development and social and economic structures but a common effort of investment in RES...

S vector autoregressions have become one of the major ways of extracting information about the macro economy. One might cite three major uses of them in macroeconometric research: for quantifying impulse responses to macroeconomic shocks; for measuring the degree of uncertainty about the impulse responses or other quantities formed from them; and for deciding on the contribution of different sh...

Based on standard New Keynesian models I show that policy counterfactuals based on the theoretical structural VAR representations of the models fail to reliably capture the impact of changes in the parameters of the Taylor rule on the (reduced-form) properties of the economy. Based on estimated models for the Great Inflation and the most recent period, I show that, as a practical matter, the pr...