The Relation of Different Concepts of Causality in Econometrics

Michael Lechner

University of St. Gallen Department of Economics working paper series 2006 from Department of Economics, University of St. Gallen

Abstract: Granger and Sims non-causality (GSNC) are compared to non-causality based on concepts popular in the microeconometrics and programme evaluation literature (potential outcome non-causality, PONC). GSNC is defined as a set of restrictions on joint distributions of random variables with observable sample counterparts, whereas PONC combines restrictions on partially unobservable variables (potential outcomes) with different identifying assumptions that relate potential to observable outcomes. Based on a dynamic model of potential outcomes, we find that in general neither of the concepts implies each other without further assumptions. However, identifying assumptions of the sequential selection on observable type provide the link between those concepts, such that GSNC implies PONC, and vice versa.

Keywords: Granger causality; Sims causality; Rubin causality; potential outcome model; dynamic treatments (search for similar items in EconPapers)
JEL-codes: C21 C22 C23 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2006-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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