Causal Paths and Exogeneity Tests in Generalcorr Package for Air Pollution and Monetary Policy

摘要: Since causal paths are important for all sciences, my package 'generalCorr' provides sophisticated R functions using four orders of stochastic dominance and generalized partial correlation coefficients. A new test (in Version 1.0.3) replaces Hausman-Wu medieval-style diagnosis endogeneity relying on showing that a dubious cure (instrumental variables) works. An updated weighted index summarizes path results from three criteria: (Cr1) lower absolute gradients, (Cr2) residuals, both quantified by orders, (Cr3) goodness fit. We illustrate with air-pollution data strength six variables driving 'excess bond premium,' good predictor US recessions.