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

Keywords: econometrics, time series, causality, PC and modified PC, simulations

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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Published
2024-06-29
How to Cite
Fazal, R., Rehman, A., Hamayat, F., Majeed, T., & Salita, S. (2024). Performance of PC and Modified PC Algorithms of Graph Theoretic Approach: A Monte Carlo Simulation Study. Journal of Quantitative Methods, 8(1), 1-24. https://doi.org/10.29145/jqm.81.01
Section
Articles