2
votes
0answers
43 views

Causality in microeconometrics versus granger causality in time-series econometrics

I understand the causality as used in microeconomics(in particular IV or regression discontinuity design) and also the Granger causality as used in time-series econometrics. How do I relate one with ...
1
vote
1answer
39 views

“Explaining” a time series - conceptual explanation needed

Imagine I have a time series for an animal population and a time series for a climatic variable during the same time period and at the same location. Unfortunately the data are observational (i.e., no ...
2
votes
0answers
87 views

Causality in Time Series

I am reading an article which is trying to justify the need for causal inference in their inferential framework. The thought experiment is as follows: Suppose a statistician is asked to design a ...
3
votes
2answers
261 views

How do difference-in-difference designs account for temporal autocorrelation

Although there are doubtless many techniques for studying the impact of a discrete intervention over time, I am interested in two which have achieved widespread adoption in the social sciences: ...
1
vote
0answers
369 views

An alternative to “Granger Causality” test when (short) time series are not stationary?

I have two short time series (x and y), and I wish to find out if x "effects" (is correlated with) y. Obviously, since the two are time series, using a simple correlation is the wrong way to go. I ...
1
vote
1answer
698 views

Formula for one-sided Hodrick-Prescott filter

I am not very familiar with filters. The Hodrick-Prescott filter as one can find it e.g. in wikipedia is two-sided. I also found an R implementation for this in the R package mFilter. There the filter ...
1
vote
2answers
82 views

Causal stats with one event and multiple time series?

I've worked with certain causal/predictive techniques when handling two time series, but this problem is different from what I am used to and I'm not sure how to proceed. I would like to see the ...
3
votes
2answers
274 views

What test should I use to determine if a policy change had a statistically significant impact on website registrations?

A client's website was operating under a certain policy for membership sign ups for over a year. At the start of October 2012 the client implemented a new policy for sign ups that was supposed to ...
2
votes
0answers
273 views

Implication / Interpretation of long term equilibrium VECM

I want to test the influence of exchange rates on a price index and struggle with the interpretations. My variables are I(1) First, I ran an OLS on first differenced variables which indicated a ...
3
votes
3answers
468 views

Identifying the time lag between cause and effect

What approaches exist to observe the time lag between two variables? I need to analyze the relationship between blood pressure and some other factor, such as exercise. The data set I am drawing from ...
5
votes
1answer
4k views

Interpreting Granger causality test's results

I'm trying to educate myself on Granger Causality. I've read the posts on this site and several good articles online. I also came across a very helpful tool, the Bivariate Granger Causality - Free ...
1
vote
1answer
68 views

Time series with same variables but different respondents

I would like to measure the impact of an intervention using a form of time series or some related technique (like segmented regression). I would like to use the Schools and Staffing Survey, which ...