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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Editura ASE Bucuresti
2015
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oai:doaj.org-article:87b038b76d66432a88618b7517c06ba72021-12-02T01:35:57ZA review of the Granger-causality fallacy1843-22981844-8208https://doaj.org/article/87b038b76d66432a88618b7517c06ba72015-05-01T00:00:00Z http://jpe.ro/pdf.php?id=7116 https://doaj.org/toc/1843-2298https://doaj.org/toc/1844-8208Methods 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.Mariusz MaziarzEditura ASE BucurestiarticleGranger-causalityepistemology of causalitycausality testingEconomics as a scienceHB71-74DEENFRJournal of Philosophical Economics, Vol VIII, Iss 2, Pp 86-105 (2015) |
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DOAJ |
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DOAJ |
| language |
DE EN FR |
| topic |
Granger-causality epistemology of causality causality testing Economics as a science HB71-74 |
| spellingShingle |
Granger-causality epistemology of causality causality testing Economics as a science HB71-74 Mariusz Maziarz A review of the Granger-causality fallacy |
| description |
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. |
| format |
article |
| author |
Mariusz Maziarz |
| author_facet |
Mariusz Maziarz |
| author_sort |
Mariusz Maziarz |
| title |
A review of the Granger-causality fallacy |
| title_short |
A review of the Granger-causality fallacy |
| title_full |
A review of the Granger-causality fallacy |
| title_fullStr |
A review of the Granger-causality fallacy |
| title_full_unstemmed |
A review of the Granger-causality fallacy |
| title_sort |
review of the granger-causality fallacy |
| publisher |
Editura ASE Bucuresti |
| publishDate |
2015 |
| url |
https://doaj.org/article/87b038b76d66432a88618b7517c06ba7 |
| work_keys_str_mv |
AT mariuszmaziarz areviewofthegrangercausalityfallacy AT mariuszmaziarz reviewofthegrangercausalityfallacy |
| _version_ |
1718402970494697472 |