Causal ordering and inference on acyclic networks
This paper develops a new identification result for the causal ordering of observation units in a recursive network or directed acyclic graph. Inferences are developed for an unknown spatial weights matrix in a spatial lag model under the assumption of recursive ordering. The performance of the methods in finite sample settings is very good. Application to data on portfolio returns produces interesting new evidences on the contemporaneous lead–lag relationships between the portfolios and generates superior predictions.
Basak, Gopal K.; Bhattacharjee, Arnab; and Das, Samarjit, "Causal ordering and inference on acyclic networks" (2018). Journal Articles. 1298.