Testing conditional independence in casual inference for time series data

Zongwu Cai, Ying Fang, Ming Lin and Shengfang Tang

Statistica Neerlandica, 2024, vol. 78, issue 2, 397-426

Abstract: In this paper, we propose a new procedure to test conditional independence assumption in studying casual inference for time series data. The conditional independence assumption is transformed to a nonparametric conditional moment test with the help of auxiliary variables which are allowed to affect policy choice but the dependence can be fully captured by potential outcomes and observable controls. When the policy choice is binary, a nonparametric statistic test is developed further for testing the conditional independence assumption conditional on policy propensity score. Under some regular conditions, we show that the proposed test statistics are asymptotically normal under the null hypotheses for time series data. In addition, the performances of the proposed methods are illustrated through Monte Carlo simulations and a real example considered in Angrist and Kuersteiner (2011).

Date: 2024
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