Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
Abstract
Causal inference in multivariate time series is challenging because the sampling rate may not be as fast as the time scale of the causal interactions, so the observed series is a subsampled version of the desired series. Furthermore, series may be observed at different sampling rates, yielding mixed-frequency series. To determine instantaneous and lagged effects between series at the causal scale, we take a model-based approach that relies on structural vector autoregressive models. We present a unifying framework for parameter identifiability and estimation under subsampling and mixed frequencies when the noise, or shocks, is non-Gaussian. By studying the structural case, we develop identifiability and estimation methods for the causal structure of lagged and instantaneous effects at the desired time scale. We further derive an exact expectation-maximization algorithm for inference in both subsampled and mixed-frequency settings. We validate our approach in simulated scenarios and on a climate and an econometric dataset.
Document Details
- Document Type
- Pub Defense Publication
- Publication Date
- Apr 08, 2019
- Source ID
- 10.1093/biomet/asz007
Entities
People
- A Shojaie
- A Tank
- Elise B. Fox
Organizations
- Air Force Office of Scientific Research
- National Institutes of Health
- National Science Foundation
- Office of Naval Research
- University of Washington