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White Chalak LuD. Galles and J. Pearl. Axioms of Causal Relevance. Artificial Intelligence, 97:9–43,1997.R. Gibbons. Game Theory for Applied Economists. Princeton University Press, Princeton,1992.S. Gonçalves and H. White. Maximum Likelihood and the Bootstrap for NonlinearDynamic Models. Journal of Econometrics, 119:199–219, 2004.C. W. J. Granger. Investigating Causal Relations by Econometric Models and CrossspectralMethods. Econometrica, 37:424–438, 1969.C. W. J. Granger and P. Newbold. Forecasting Economic Time Series (2nd edition).Academic Press, New York, 1986.J. Halpern. Axiomatizing Causal Reasoning. Journal of Artificial Intelligence Research,12:317-337, 2000.K. Hornik, M. Stinchcombe, and H. White. Universal Approximation of an UnknownMapping and its Derivatives Using Multilayer Feedforward Networks. Neural Networks,3:551–560, 1990.G. B. Huang, Q.Y. Zhu, and C.K. Siew. Extreme Learning Machines: Theory andApplications. Neurocomputing, 70:489–501, 2006.M. Huang and H. White. A Flexible Test for Conditional Independence. Technicalreport, Department of Economics, University of California, San Diego.N. Kiefer and T. Vogelsang. Heteroskedasticity-autocorrelation Robust Testing UsingBandwidth Equal to Sample Size. Econometric Theory, 18:1350–1366, 2002.N. Kiefer and T. Vogelsang. A New Asymptotic Theory for HeteroskedasticityautocorrelationRobust Tests. Econometric Theory, 21:1130–1164, 2005.O. Linton and P. Gozalo. Conditional Independence Restrictions: Testing and Estimation.Technical report, Cowles Foundation for Research, Yale University, 1997.S. Ma and M. Kosorok. Robust Semiparametric M-estimation and the Weighted Bootstrap.Journal of Multivariate Analysis, 96:190-217, 2005.J. Pearl. Causality. Cambridge University Press, New York, 2000.J. Pearl. Direct and Indirect Effects. In Proceedings of the Seventeenth Conference onUncertainty in Artificial Intelligence, pages 411-420, 2001.D.N. Politis. Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices. Technical report, Departmentof Economics, University of California, San Diego, 2009.30
Linking Granger Causality and the Pearl Causal Model with Settable SystemsA. Roebroeck, A.K. Seth, and P. Valdes-Sosa. Causality Analysis of Functional MagneticResonance Imaging Data. Journal of Machine Learning Research, (this issue),2011.K. Song. Testing Conditional Independence via Rosenblatt Transforms. Annals ofStatistics, 37:4011-4015, 2009.M. Stinchcombe and H. White. Consistent Specification Testing with Nuisance ParametersPresent Only Under the Alternative. Econometric Theory, 14:295-324, 1998.J. Stock and M. Watson. Introduction to Econometrics. Addison-Wesley, Boston, 2007.L. Su and H. White. A Consistent Characteristic Function-Based Test for ConditionalIndependence. Journal of Econometrics, 141:807-834, 2007a.L. Su and H. White. Testing Conditional Independence via Empirical Likelihood. Technicalreport, Department of Economics, University of California, San Diego, 2007b.L. Su and H. White. A Nonparametric Hellinger Metric Test for Conditional Independence.Econometric Theory, 24:829–864, 2008.H. Varian. Intermediate Microeconomics (8th edition). Norton, New York, 2009.H. White. Estimation, Inference, and Specification Analysis. Cambridge UniversityPress, New York, 1994.H. White. Time-series Estimation of the Effects of Natural Experiments. Journal ofEconometrics, 135:527-566, 2006a.H. White. Approximate Nonlinear Forecasting Methods. In G. Elliott, C.W.J. Granger,and A. Timmermann, editors, Handbook of Economic Forecasting, pages 460–512,Elsevier, New York, 2006b.H. White and K. Chalak. Settable Systems: An Extension of Pearl’s Causal Model withOptimization, Equilibrium, and Learning. Journal of Machine Learning Research,10:1759-1799, 2009.H. White and P. Kennedy. Retrospective Estimation of Causal Effects Through Time. InJ. Castle and N. Shephard editors, The Methodology and Practice of Econometrics:A Festschrift in Honour of David F. Hendry, pages 59–87, Oxford University Press,Oxford, 2009.H. White and X. Lu. Granger Causality and Dynamic Structural Systems. Journal ofFinancial Econometrics, 8:193-243, 2010a.H. White and X. Lu. Causal Diagrams for Treatment Effect Estimation with Applicationto Selection of Efficient Covariates. Technical report, Department of Economics,University of California, San Diego, 2010b.31
Page 1: Causality in Time SeriesVolume 5:Ca
Page 5: PrefaceThe following is a print ver
Page 9 and 10: JMLR: Workshop and Conference Proce
Page 11 and 12: Linking Granger Causality and the P
Page 37: Linking Granger Causality and the P
Page 42 and 43: Popescu1. IntroductionCausality is
Page 44 and 45: Popescugeneral terms, if we are pre
Page 46 and 47: PopescuType III error prob. γ = P
Page 48 and 49: Popescuwhich would correspond to a
Page 50 and 51: Popescuvalued vector. A Data Genera
Page 52 and 53: Popescuy i =K∑︁A k y i−k + Bu
Page 54 and 55: Popescuy i =K∑︁A k y i−k + Bu
Page 56 and 57: PopescuFigure 1: SVAR causality and
Page 58 and 59: Popescu6. Spectral methods and phas
Page 60 and 61: PopescuH GCj→i|u = logD i − log
Page 62 and 63: Popescu8.1. The cardinal transform
Page 64 and 65: Popescuy N,i = Bx N,i (37)y = (1
Page 66 and 67: Popescu(a) Unmixed colored noise(b)
Page 68 and 69: PopescuAs we can see in both Figure
Page 70 and 71: Popescuβ > 0 y C,i =x N,i =⎡K∑
Page 72 and 73: Popescupretation of information flo
Page 74 and 75: Popescuit is suggested that a princ
Page 76 and 77: PopescuA. N. Kolmogorov and A. N. S
Page 78 and 79: PopescuH. White and X. Lu. Granger
Page 80 and 81: PopescuTable 6: α vs. ΨN * → 50
Page 82 and 83: Roebroeck Seth Valdes-Sosaincreasin
Page 84 and 85: Roebroeck Seth Valdes-SosaFigure 1:
Page 86 and 87: Roebroeck Seth Valdes-Sosasignal fr
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Roebroeck Seth Valdes-Sosablood flo
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Roebroeck Seth Valdes-Sosaat lower
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Roebroeck Seth Valdes-SosaTable 1:
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Roebroeck Seth Valdes-Sosa1984) and
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Roebroeck Seth Valdes-Sosaanalysis
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Roebroeck Seth Valdes-Sosamarginal
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Roebroeck Seth Valdes-SosaThe initi
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Roebroeck Seth Valdes-Sosaobserved
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Roebroeck Seth Valdes-Sosaand corti
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Roebroeck Seth Valdes-SosaDaniel Co
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Roebroeck Seth Valdes-SosaM. Havlic
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Roebroeck Seth Valdes-SosaV. Walsh
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Moneta Chlass Entner Hoyerthe struc
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Guyon Statnikov Aliferisis extremel
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Guyon Statnikov Aliferismethods on
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