dc.contributor.author | Angrist, Joshua | |
dc.contributor.author | Kuersteiner, Guido M. | |
dc.date.accessioned | 2011-03-24T20:19:54Z | |
dc.date.available | 2011-03-24T20:19:54Z | |
dc.date.issued | 2010-04 | |
dc.identifier.issn | 0034-6535 | |
dc.identifier.issn | 1530-9142 | |
dc.identifier.uri | http://hdl.handle.net/1721.1/61874 | |
dc.description.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. | en_US |
dc.description.sponsorship | National Science Foundation (U.S.) (SES-0095132) | en_US |
dc.description.sponsorship | National Science Foundation (U.S.) (SES-0523186) | en_US |
dc.language.iso | en_US | |
dc.publisher | MIT Press | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1162/REST_a_00109 | en_US |
dc.rights | Creative Commons Attribution-Noncommercial-Share Alike 3.0 | en_US |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | en_US |
dc.source | MIT web domain | en_US |
dc.title | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score | en_US |
dc.type | Article | en_US |
dc.identifier.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 | en_US |
dc.contributor.department | Massachusetts Institute of Technology. Department of Economics | en_US |
dc.contributor.approver | Angrist, Joshua | |
dc.contributor.mitauthor | Angrist, Joshua | |
dc.relation.journal | forthcoming in the Review of Economics and Statistics | en_US |
dc.eprint.version | Author's final manuscript | en_US |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
dspace.orderedauthors | Angrist, Joshua D; Kuersteiner, Guido M | en |
dc.identifier.orcid | https://orcid.org/0000-0001-6992-8956 | |
mit.license | OPEN_ACCESS_POLICY | en_US |
mit.metadata.status | Complete | |