Causal change detection in possibly integrated systems: Revisiting the money-income relationship
This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the d...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2398 https://ink.library.smu.edu.sg/context/soe_research/article/3397/viewcontent/GrangerCausality_Level_June2016_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |