Causal ordering and inference on acyclic networks

Gopal K. Basak, Arnab Bhattacharjee, Samarjit Das

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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.
Original languageEnglish
Pages (from-to)213–232
Number of pages20
JournalEmpirical Economics
Volume55
Issue number1
Early online date26 May 2018
DOIs
Publication statusPublished - Aug 2018

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