Economics at your fingertips  

A Nonparametric Dynamic Causal Model for Macroeconometrics

Ashesh Rambachan and Neil Shephard ()

Papers from

Abstract: This paper uses potential outcome time series to provide a nonparametric framework for quantifying dynamic causal effects in macroeconometrics. This provides sufficient conditions for the nonparametric identification of dynamic causal effects as well as clarify the causal content of several common assumptions and methods in macroeconomics. Our key identifying assumption is shown to be non-anticipating treatments which enables nonparametric inference on dynamic causal effects. Next, we provide a formal definition of a `shock' and this leads to a shocked potential outcome time series. This is a nonparametric statement of the Frisch-Slutzky paradigm. The common additional assumptions that the causal effects are additive and that the treatments are shocks place substantial restrictions on the underlying dynamic causal estimands. We use this structure to causally interpret several common estimation strategies. We provide sufficient conditions under which local projections is causally interpretable and show that the standard assumptions for local projections with an instrument are not sufficient to identify dynamic causal effects. We finally show that the structural vector moving average form is causally equivalent to a restricted potential outcome time series under the usual invertibility assumption.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2019-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

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:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2019-10-16
Handle: RePEc:arx:papers:1903.01637