Template-type: ReDif-Paper 1.0
Author-Name: Eichler Michael 
Author-Name: Didelez Vanessa 
Author-workplace-name: METEOR
Title: On Granger-causality and the effect of interventions in time series
Abstract: We combine two approaches to causal reasoning. Granger-causality, on the one hand, is popular in fields like econometrics,  where randomised experiments are  not very common. Instead information about the dynamic development of a system is explicitly modelled and used to define potentially causal relations. On the other hand, the notion of causality as effect of interventions is predominant in fields like medical statistics or computer science. In this paper, we consider the effect of external, possibly multiple and sequential, interventions in a system of multivariate time  series, the Granger-causal  structure of which is taken to be known. We address the following questions: under what assumptions about the system and the interventions does Granger-causality inform us about the effectiveness of interventions, and when does the possibly smaller system of observable times series allow us to estimate this effect? For the latter we derive criteria that can be checked graphica lly and are in the same spirit as Pearl''s back-door and front-door criteria (Pearl 1995).
Keywords: econometrics; 
Series: Research Memoranda
Creation-Date: 2009
Number: 003
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:096d5340-8319-4e30-8e20-acedb33156c6/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 414618
Handle: RePEc:unm:umamet:2009003