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Performance of PC and Modified PC Algorithms of Graph Theoretic Approach: A Monte Carlo Simulation Study

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Title: Performance of PC and Modified PC Algorithms of Graph Theoretic Approach: A Monte Carlo Simulation Study

Authors: Rizwan Fazal, Atiq Ur Rehman, Faizan Hamayat, Tariq Majeed, Salita Salita

Journal: Journal of Quantitative Methods

HEC Recognition History
Category From To
Y 2023-07-01 2024-09-30
Y 2022-07-01 2023-06-30
Y 2021-07-01 2022-06-30
Y 2020-07-01 2021-06-30

Publisher: University of Management & Technology Lahore

Country: Pakistan

Year: 2024

Volume: 8

Issue: 1

Language: en

DOI: 10.29145/jqm.81.01

Keywords: causalityeconometricsTime SeriesSimulationsPC and modified PC

Categories
Causality (17) Simulation (454) Econometrics (4472) Time Series Analysis (330) Statistics (8857)

Abstract

Keeping in view the work of Swanson and Granger (1997) among others, the performance of PC algorithm and Modified PC algorithm of graph theoretic approach in term of size and power properties are evaluated using Monte Carlo simulation. The study recommends modified PC algorithm as the dominant approach to causality as it successfully expose the correct causal relationship between variables and best to differentiate between correct and spurious causality.

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