Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
Name
Angrist_Causal effects.pdf
Size
763.76 KB
Format
Adobe PDF
Checksum (MD5)
1fc35ae15101641783074d8cf3c81e7b
Author(s)
Angrist, Joshua
Kuersteiner, Guido M.
Date Issued
April 2010
Journal
forthcoming in the Review of Economics and Statistics
Publisher
MIT Press
Citation
Angrist, Joshua D., and Guido M. Kuersteiner. “Causal effects of monetary shocks: Semiparametric conditional independence tests with a multinomial propensity score.” Forthcoming in Review of Economics and Statistics
Version
Author's final manuscript
Abstract
We develop semiparametric tests for conditional independence in time series models of causal effects. Our
approach is motivated by empirical studies of monetary policy effects. Our approach is semiparametric
in the sense that we model the process determining the distribution of treatment the policy propensity
score but leave the model for outcomes unspecfi ed. A conceptual innovation is that we adapt the
cross-sectional potential outcomes framework to a time series setting. We also develop root-T consistent
distribution-free inference methods for full conditional independence testing, appropriate for dependent
data and allowing for first-step estimation of the (multinomial) propensity score.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike 3.0
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1162/REST_a_00109
