A review of the Granger-causality fallacy
Methods used to infer causal relations from data rather than knowledge of mechanisms are most helpful and exploited only if the theoretical background is insufficient or experimentation impossible. The review of literature shows that when an investigator ha...
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| Autor principal: | |
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| Formato: | article |
| Lenguaje: | DE EN FR |
| Publicado: |
Editura ASE Bucuresti
2015
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/87b038b76d66432a88618b7517c06ba7 |
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| Sumario: | Methods used to infer causal relations from data rather than
knowledge of mechanisms are most helpful and exploited only if the
theoretical background is insufficient or experimentation impossible.
The review of literature shows that when an investigator has no prior
knowledge of the researched phenomenon, no result of the Granger-
causality test has any epistemic utility due to different possible
interpretations. (1) Rejecting the null in one of the tests can be
interpreted as either a true causal relation, opposite direction of the true
causation, instant causality, time series cointegration, not frequent
enough sampling, etc. (2) Bi-directional Granger causality can be read
either as instant causality or common cause fallacy. (3) Non-rejection of
both nulls possibly means either indirect or nonlinear causality, or no
causal relation. |
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