Nonstationary time series, cointegration, and the principle of the common cause

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. 1 A challenge to the principle of the common cause 2 Sober's argument and the attempts to rescue the principle 3 Probabilistic dependence 4 Nonstationary time series 5 Probabilistic dependence in nonstationary time series 6 Do Venetian sea levels and British bread prices violate the principle of the common cause?