Causal ordering and inference on acyclic networks

Gopal K. Basak (), Arnab Bhattacharjee and Samarjit Das ()
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Gopal K. Basak: Indian Statistical Institute
Samarjit Das: Indian Statistical Institute

Empirical Economics, 2018, vol. 55, issue 1, No 11, 213-232

Abstract: 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.

Keywords: Spatial weights matrix; Directed acyclic graphs; Recursive ordering; M-estimation; Portfolio returns; Partial identification (search for similar items in EconPapers)
JEL-codes: C31 C58 C63 G14 G17 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s00181-018-1454-3

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