Econometric vs. Causal Structure-Learning for Time-Series Policy Decisions: Evidence from the UK COVID-19 Policies

TL;DR

This study compares econometric and causal machine learning methods for uncovering causal structures in UK COVID-19 time series data, highlighting their respective strengths and limitations for policy decision-making.

Contribution

It evaluates four econometric and eleven causal ML algorithms on real-world COVID-19 data, providing insights and code for translating econometric results into Bayesian networks.

Findings

Econometric methods clearly identify temporal causal structures.

Causal ML algorithms explore broader graph structures, resulting in denser graphs.

Both approaches offer complementary insights for policy analysis.

Abstract

Causal machine learning (ML) recovers graphical structures that inform us about potential cause-and-effect relationships. Most progress has focused on cross-sectional data with no explicit time order, whereas recovering causal structures from time series data remains the subject of ongoing research in causal ML. In addition to traditional causal ML, this study assesses econometric methods that some argue can recover causal structures from time series data. The use of these methods can be explained by the significant attention the field of econometrics has given to causality, and specifically to time series, over the years. This presents the possibility of comparing the causal discovery performance between econometric and traditional causal ML algorithms. We seek to understand if there are lessons to be incorporated into causal ML from econometrics, and provide code to translate the results of these econometric methods to the most widely used Bayesian Network R library, bnlearn. We investigate the benefits and challenges that these algorithms present in supporting policy decision-making, using the real-world case of COVID-19 in the UK as an example. Four econometric methods are evaluated in terms of graphical structure, model dimensionality, and their ability to recover causal effects, and these results are compared with those of eleven causal ML algorithms. Amongst our main results, we see that econometric methods provide clear rules for temporal structures, whereas causal-ML algorithms offer broader discovery by exploring a larger space of graph structures that tends to lead to denser graphs that capture more identifiable causal relationships.