Semiparametric causality tests using the policy propensity score
By: Joshua D. Angrist, Guido M. Kuersteiner.
Contributors: Kuersteiner, Guido M.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10975; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10975.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Time series data are widely used to explore causal relationships, typically in a regression framework with lagged dependent variables.  Regression-based causality tests rely on an array of functional form and distributional assumptions for valid causal inference.  This paper develops a semi-parametric test for causality in models linking a binary treatment or policy variable with unobserved potential outcomes.  The procedure is semiparametric in the sense that we model the process determining treatment -- the policy propensity score -- but leave the model for outcomes unspecified.  This general approach is motivated by the notion that we typically have better prior information about the policy determination process than about the macro-economy.  A conceptual innovation is that we adapt the cross-sectional potential outcomes framework to a time series setting.  This leads to a generalized definition of Sims (1980) causality.  We also develop a test for full conditional independence, in contrast with the usual focus on mean independence.  Our approach is illustrated using data from the Romer and Romer (1989) study of the relationship between the Federal reserve's monetary policy and output"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/6/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.