Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series

• 成果类型: Article
• 署名作者: Tank, A.; Fox, E. B.; Shojaie, A.
• 署名单位: University of Washington; University of Washington Seattle; University of Washington; University of Washington Seattle
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asz007
• 发表日期: 2019
• 页码: 433452
• 关键词: temporal aggregation; identification

摘要

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.