Causal ordering and inference on acyclic networks

Authors

Gopal K. Basak, Indian Statistical Institute, Kolkata
Arnab Bhattacharjee, Heriot-Watt University
Samarjit Das, Indian Statistical Institute, Kolkata

Article Type

Research Article

Publication Title

Empirical Economics

Abstract

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.

First Page

213

Last Page

232

DOI

10.1007/s00181-018-1454-3

Publication Date

8-1-2018

Comments

All Open Access, Hybrid Gold

Recommended Citation

Basak, Gopal K.; Bhattacharjee, Arnab; and Das, Samarjit, "Causal ordering and inference on acyclic networks" (2018). Journal Articles. 1298.
https://digitalcommons.isical.ac.in/journal-articles/1298