Download Graphical Causal Models: A Short Annotated Bibliography

Kevin D. Hoover Graphical Causal Models Course, Department of Economics, Oxford University, 7­9 April 2008 Graphical Causal Models: A Short Annotated Bibliography Foundations
· Pearl, Judea. (2000). Causality: Models, Reasoning, and Inference, Cambridge University Press, Cambridge.
· Spirtes, Peter, Clark Glymour, and Richard Scheines. (2000) Causation, Prediction, and Search, 2 nd edition. Cambridge, MA: MIT Press. Pearl comes to the topic from the direction of machine intelligence. It is probably the easier book to read. It lays out a lot of the key graph theory and theoretical results. Sprites, Glymour, Scheines are more interested in the inference of causal, and while they too cover the theory, the book is invaluable as the source of practical guidance on search algorithms, the limits, and the capabilities of the approach. Accessible Overviews
· Cooper, Gregory F. (1999). ‘An overview of the representation and discovery of causal relationships using Bayesian networks’, in Clark Glymour and Gregory F. Cooper (eds) Computation, Causation, and Discovery, American Association for Artificial Intelligence, Menlo Park, CA and MIT Press, Cambridge, MA, pp. 3­64.
· Scheines, Richard, Peter Spirtes, Clark Glymour, Christopher Meek, and Thomas Richardson. (1994) Tetrad 3: Tools for Causal Modeling: User’s Manual. Tetrad 3 is an out­of­date version of the Tetrad software but contains an accessible discussion of the methods, there basis, and applications. It can be downloaded from the Tetrad Project website: http://www.phil.cmu.edu/projects/tetrad/index.html.
· Hoover, Kevin D. (2005) ‘Automatic inference of the contemporaneous causal order of a system of equations,’ Econometric Theory, Vol. 21, 69­77. Applications to Vector Autoregressions
· Swanson, Norman R. and Clive W.J. Granger. (1997). ‘Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions’, Journal of the American Statistical Association, Vol. 92, pp. 357­67. Provides the essential technique for applying graph­theoretical search to time­ series data, but does not use any of the most common algorithms.
· Demiralp, Selva and Kevin D. Hoover. (2003) ‘Searching for the causal structure of a vector autoregression,’ Oxford Bulletin of Economics and Statistics, Vol. 65(supplement), pp. 745­767.
Kevin D. Hoover Graphical Causal Models Course, Department of Economics, Oxford University, 7­9 April 2008 Investigates the effectiveness of the PC algorithm in discovering the causal structure of SVARs using Monte Carlo methods.
· Demiralp, Selva, Kevin D. Hoover, and Stephen J. Perez, ‘A bootstrap method for identifying and evaluating a structural vector autoregression,’ Oxford Bulletin of Economics and Statistics, forthcoming 2008. Investigates a bootstrap method for assessing the effectiveness of search algorithms. Available for download: http://econ.duke.edu/~kdh9/research.html.
· Kevin D. Hoover, Demiralp, Selva, and Stephen J. Perez, “Empirical Identification of the Vector Autoregression: The causes and effects of U.S. M2,’ in the Festshrift for David F. Hendry, forthocoming. Applies the methods of the previous paper to a U.S. monetary policy problem. Also integrates graphical causal search with general­to­specific search (implemented in Autometrics) to give a complete specification of the dynamic system – both contemporaneous and lagged terms. Available for download: http://econ.duke.edu/~kdh9/research.html. Other Examples of Economic Applications of Graph­theoretic Causal Search
· Clark Glymour and Gregory F. Cooper (eds) Computation, Causation, and Discovery, American Association for Artificial Intelligence, Menlo Park, CA and MIT Press, Cambridge, MA, pp. 3­64. This anthology contains articles with a variety of applications of these methods to a variety of fields, including economics. One example is: Akleman, Derya G., David A. Bessler, and Diana M. Burton. (1999). ‘Modeling corn exports and exchange rates with directed graphs and statistical loss functions’, pp. 497­520.
· Awokuse, T. O. (2005) ‘Export­led growth and the Japanese economy: Evidence from VAR and directed acyclical graphs,’ Applied Economics Letters, Vol. 12, pp. 849­858.
· Bessler, David A. and N. Loper. (2001) ‘Economic development: evidence from directed acyclical graphs’ Manchester School, Vol. 9, pp. 457­476.
· Bessler, David A. and Seongpyo Lee. (2002). ‘Money and prices: U.S. data 1869­1914 (a study with directed graphs)’, Empirical Economics, Vol. 27, pp. 427­46.
· Haigh, M.S., N.K. Nomikos, and D.A. Bessler (2004) ‘Integration and causality in international freight markets: Modeling with error correction and directed acyclical graphs,’ Southern Economic Journal, Vol. 71(1), pp. 145­162.
· Yang, J. and D.A. Bessler. (2004) ‘The International price transmission in stock index futures markets,’ Economic Inquiry, Vol. 42, pp. 370­386.