Asymptotic Bias of OLS in the Presence of Reverse Causality

Deepankar Basu ()
Additional contact information
Deepankar Basu: Department of Economics, University of Massachusetts, Amherst

No 2015-18, UMASS Amherst Economics Working Papers from University of Massachusetts Amherst, Department of Economics

Abstract: In this paper, I derive an expression for the asymptotic bias in the OLS estimator of the partial effect of a regressor on the dependent variable when there is reverse causality and all variables in the model are covariance stationary. I show that the sign of the asymptotic bias depends only on the signs of the bi-directional causal effects.

Keywords: Reverse causality; simultaneity bias. (search for similar items in EconPapers)
JEL-codes: C10 C30 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.umass.edu/economics/publications/2015-18.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ums:papers:2015-18

Access Statistics for this paper

More papers in UMASS Amherst Economics Working Papers from University of Massachusetts Amherst, Department of Economics Thompson Hall, Amherst, MA 01003. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Girardi ( this e-mail address is bad, please contact ).