High-Dimensional Granger Causality for Climatic Attribution
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气候归因中的高维格兰杰因果分析AI 解读 ↓
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In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcings and global temperatures. By allowing for high dimensionality in the model, we can enrich the information set with relevant natural and anthropogenic forcing variables to obtain reliable causal relations. This provides a step forward from existing climatology literature, which has mostly treated these variables in isolation in small models. Additionally, our framework allows to disregard the order of integration of the variables by directly estimating the VAR in levels, thus avoiding accumulating biases coming from unit-root and cointegration tests. This is of particular appeal for climate time series which are well known to contain stochastic trends and long memory. We are thus able to establish causal networks linking radiative forcings to global temperatures and to connect radiative forcings among themselves, thereby allowing for tracing the path of dynamic causal effects through the system.
用于动态有效连接的贝叶斯时变张量向量自回归模型
In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can provide insights into how brain network interactions are altered in neurological disorders such as dyslexia. Time-varying vector autoregressive (TV-VAR) models have been employed to draw inferences for this purpose. However, their…
非平稳系统的大规模溢出网络
This article proposes a vector error correction framework for constructing large consistent spillover networks of nonstationary systems grounded in the network theory of Diebold and Y ilmaz. We aim to provide a tailored methodology for the large nonstationary (macro)economic and financial system application settings avoiding technical and often hard to verify assumptions for general statistical high-dimensional approaches where the dimension can also increase with sample…
高维空间与纵向价格关系及价格传导:机器学习方法
Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques suffer from the "curse of dimensionality" and are applied almost exclusively to small sets of price series, either prices of one commodity in a few regions or prices of a few commodities in one region. However, an agrifood supply chain usually contains several commodities (e.g., cattle and beef)…
通过正交化自适应估计发现存在混杂的时间序列因果滞后结构
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the false discovery rate (FDR). ORACLE-VARX does all three in one pipeline. First, double/debiased machine learning (DML) removes nonlinear confounder effects from the outcomes and the lagged series. Second, adaptive causal…
观察性时间序列动态因果效应的半参数推断
In observational time series, statistical inference for dynamic causal effects of a one-time intervention across horizons is complicated by high-dimensional observed pre-treatment information, unmeasured confounding, and serial dependence. To address these challenges, we develop a semiparametric framework for inference from a single serially dependent time series, integrating debiased machine learning with instrumental variables through buffered block cross-fitting. Under…
Summary We adapt double machine learning to macroeconomic time series by combining regularized nuisance estimation with reverse cross-fitting. This deterministic scheme exploits time reversibility to use time-reversed auxiliary blocks and, unlike neighbour-deletion designs, avoids buffer blocks, thereby improving sample usage. We derive conditions for asymptotic validity and show in simulations that the estimator performs well in realistic finite samples across the designs…