Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
Author(s)Angrist, Joshua; Kuersteiner, Guido M.
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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.
DepartmentMassachusetts Institute of Technology. Department of Economics
forthcoming in the Review of Economics and Statistics
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
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