Causal Inference for Time Series

Jonas Peters, Department of Mathematical Sciences, University of Copenhagen

We consider the problem of inferring causal relations between random variables in the context of time series. We discuss the concept of Granger causality and show its limitations when the underlying assumptions are violated. As an alternative, we propose a method that is based on invariance between different environments. We apply our method to a data set related to the monetary policy of the Swiss National Bank.

Slides: Contact Jonas

The paper on arxiv