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Tests of Non-Causality Under Markov Assumptions for Qualitative Panel Data

Bouissou, M. B. and Laffont, Jean-Jacques and Vuong, Quang H. (1983) Tests of Non-Causality Under Markov Assumptions for Qualitative Panel Data. Social Science Working Paper, 501. California Institute of Technology , Pasadena, CA. (Unpublished)

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For many years, social scientists have been interested in obtaining testable definitions of causality [C. W. Granger (1969)]. Recent works include those of G. Chamberlain (1982) and J. P. Florens and M. Mouchart (1982). The present paper first clarifies the results of these latter papers by considering a unifying definition of non-causality. Then, log-likelihood ratio (LR) tests for non-causality are derived for qualitative panel data under the minimal assumption that one series is Markov. LR tests for the Markov property are also obtained. Both test statistics have closed forms. These tests thus provide a readily applicable procedure for testing non-causality on qualitative panel data. Finally, the tests are applied to French Business Survey data in order to test the hypothesis that price changes from period to period are strictly exogenous to disequilibria appearing within periods.

Item Type:Report or Paper (Working Paper)
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Additional Information:Revised. Original dated to April 1983. This research was done while the third author was visiting the Universite des Sciences Sociales de Toulouse. Support from DGRST 81-E-1303 is gratefully acknowledged. We are indebted to Jeff Dubin, Dave Grether, Jerry Kramer, Doug Rivers, Howard Rosenthal for helpful criticism, and to Ken McCue for computational assistance. Published as Bouissou, Michel B., Jean-Jacques Laffont, and Quang H. Vuong. "Tests of noncausality under Markov assumptions for qualitative panel data." Econometrica: Journal of the Econometric Society (1986): 395-414.
Group:Social Science Working Papers
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Direction Générale de la Recherche Scientifique et TechniqueDGRST 81-E-1303
Subject Keywords:Markov processes, Probabilities, Stochastic processes, Random variables, Null hypothesis, Conditional probabilities, Logical givens, Probability distributions, Statistical models, Statistics
Series Name:Social Science Working Paper
Issue or Number:501
Record Number:CaltechAUTHORS:20170920-164043949
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:81661
Deposited By: Jacquelyn Bussone
Deposited On:21 Sep 2017 18:34
Last Modified:03 Oct 2019 18:45

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