Inference With Cross-Lagged Effects - Problems in Time and New Interpretations

• Published in: IDEAS Working Paper Series from RePEc
• Main Author: Driver, Charles C
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2022
• Subjects: Hypotheses; Hypothesis testing

The interpretation of cross-effects from vector autoregressive models to infer structure and causality amongst constructs is widespread and sometimes problematic. I first explain how hypothesis testing and regularization are invalidated when processes that are thought to fluctuate continuously in ti...