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Nonstationary Time Series, Cointegration, and the Principle of the Common Cause

Kevin D. Hoover
The British Journal for the Philosophy of Science
Vol. 54, No. 4 (Dec., 2003), pp. 527-551
Stable URL: http://www.jstor.org/stable/3541677
Page Count: 25
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Nonstationary Time Series, Cointegration, and the Principle of the Common Cause
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Abstract

Elliot Sober ([2001]) forcefully restates his well-known counterexample to Reichenbach's principle of the common cause: bread prices in Britain and sea levels in Venice both rise over time and are, therefore, correlated; yet they are ex hypothesi not causally connected, which violates the principle of the common cause. The counterexample employs nonstationary data-i.e., data with time-dependent population moments. Common measures of statistical association do not generally reflect probabilistic dependence among nonstationary data. I demonstrate the inadequacy of the counterexample and of some previous responses to it, as well as illustrating more appropriate measures of probabilistic dependence in the nonstationary case.

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