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关于格兰杰因果关系及时间序列中干预措施的影响。

On Granger causality and the effect of interventions in time series.

作者信息

Eichler Michael, Didelez Vanessa

机构信息

Department of Quantitative Economics, Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands.

出版信息

Lifetime Data Anal. 2010 Jan;16(1):3-32. doi: 10.1007/s10985-009-9143-3. Epub 2009 Nov 26.


DOI:10.1007/s10985-009-9143-3
PMID:19941069
Abstract

We combine two approaches to causal reasoning. Granger causality, on the one hand, is popular in fields like econometrics, where randomised experiments are not very common. Instead information about the dynamic development of a system is explicitly modelled and used to define potentially causal relations. On the other hand, the notion of causality as effect of interventions is predominant in fields like medical statistics or computer science. In this paper, we consider the effect of external, possibly multiple and sequential, interventions in a system of multivariate time series, the Granger causal structure of which is taken to be known. We address the following questions: under what assumptions about the system and the interventions does Granger causality inform us about the effectiveness of interventions, and when does the possibly smaller system of observable times series allow us to estimate this effect? For the latter we derive criteria that can be checked graphically and are in the same spirit as Pearl's back-door and front-door criteria (Pearl 1995).

摘要

我们结合了两种因果推理方法。一方面,格兰杰因果关系在计量经济学等领域很流行,在这些领域中随机实验并不常见。相反,系统动态发展的信息被明确建模,并用于定义潜在的因果关系。另一方面,作为干预效果的因果关系概念在医学统计学或计算机科学等领域占主导地位。在本文中,我们考虑在一个多元时间序列系统中外部的、可能是多个且相继的干预的效果,该系统的格兰杰因果结构被认为是已知的。我们解决以下问题:在关于系统和干预的哪些假设下,格兰杰因果关系能让我们了解干预的有效性,以及可观测时间序列的可能更小的系统何时能让我们估计这种效果?对于后者,我们推导出了可以通过图形检查的标准,这些标准与珀尔的后门标准和前门标准(珀尔,1995年)具有相同的精神。

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本文引用的文献

[1]
Does obesity shorten life? The importance of well-defined interventions to answer causal questions.

Int J Obes (Lond). 2008-8

[2]
A structural approach to selection bias.

Epidemiology. 2004-9

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