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Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function

Ashesh Rambachan and Neil Shephard ()

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Abstract: Bojinov & Shephard (2019) defined potential outcome time series to nonparametrically measure dynamic causal effects in time series experiments. Four innovations are developed in this paper: "instrumental paths," treatments which are "shocks," "linear potential outcomes" and the "causal response function." Potential outcome time series are then used to provide a nonparametric causal interpretation of impulse response functions, generalized impulse response functions, local projections and LP-IV.

Date: 2019-03, Revised 2020-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Handle: RePEc:arx:papers:1903.01637