Correlation vs. causation
David Freedman is the author of an excellent book: "Statistical Models: Theory and Practice" which discusses the issue of causation. It's a very unique stat book in that it really gets into the issue of model assumptions. It claims to be introductory but I believe that a semester or two of math stat as a pre-req would be helpful. In the time series context, you can run a VAR and then do tests for Granger Causality to see if one variable is really "causing" the other where "causing" is defined by Granger. R has a nice package called vars which makes building VAR models and doing testing extremely straightforward.
Jan-8-2017, 13:30:09 GMT
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