fbarraquand / gcausality Goto Github PK
View Code? Open in Web Editor NEWGranger / MAR(p) modelling and CCM for inferring interactions from time series
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Other aspects of causality
We can use the discussion to tackle
- Pearl interventionist causality, fairly different in spirit -> both Granger and CCM somehow belong to observational, dynamical-systems type of causality (add SDE-based stuff too).
- These definitions can be coupled though -> cf work by Eicher on multivariate time series, also worthwhile to point out in the discussion
Lots of repeat of code
May need to introduce functions...
Function ar()
Correct AIC=F to aic=F
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