Time and Causality: A Monte Carlo Assessment of the Timing-of-Events Approach

Simen Gaure, Knut Røed () and Tao Zhang ()
Additional contact information
Tao Zhang: The Ragnar Frisch Centre for Economic Research, Postal: Gaustadalléen 21, 0349 Oslo, Norway

No 19/2005, Memorandum from Oslo University, Department of Economics

Abstract: We present new Monte Carlo evidence regarding the feasibility of separating causality from selection within non-experimental interval-censored duration data, by means of the nonparametric maximum likelihood estimator (NPMLE). Key findings are: i) the NPMLE is extremely reliable, and it accurately separates the causal effects of treatment and duration dependence from sorting effects, almost regardless of the true unobserved heterogeneity distribution; ii) the NPMLE is normally distributed, and standard errors can be computed directly from the optimally selected model; and iii)unjustified restrictions on the heterogeneity distribution, e.g., in terms of a prespecified number of support points, may cause substantial bias.

Keywords: NPMLE; treatment effect (search for similar items in EconPapers)
JEL-codes: C14 C15 C41 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2005-08-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Time and causality: A Monte Carlo assessment of the timing-of-events approach (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:osloec:2005_019

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