Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
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 poli...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
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MIT Press
2011
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| Online Access: | http://hdl.handle.net/1721.1/61874 https://orcid.org/0000-0001-6992-8956 |
| _version_ | 1826206289832706048 |
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| author | Angrist, Joshua Kuersteiner, Guido M. |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Angrist, Joshua Kuersteiner, Guido M. |
| author_sort | Angrist, Joshua |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T13:26:47Z |
| format | Article |
| id | mit-1721.1/61874 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T13:26:47Z |
| publishDate | 2011 |
| publisher | MIT Press |
| record_format | dspace |
| spelling | mit-1721.1/618742022-10-01T15:22:09Z Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score Angrist, Joshua Kuersteiner, Guido M. Massachusetts Institute of Technology. Department of Economics Angrist, Joshua Angrist, Joshua 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. National Science Foundation (U.S.) (SES-0095132) National Science Foundation (U.S.) (SES-0523186) 2011-03-24T20:19:54Z 2011-03-24T20:19:54Z 2010-04 Article http://purl.org/eprint/type/JournalArticle 0034-6535 1530-9142 http://hdl.handle.net/1721.1/61874 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 https://orcid.org/0000-0001-6992-8956 en_US http://dx.doi.org/10.1162/REST_a_00109 forthcoming in the Review of Economics and Statistics Creative Commons Attribution-Noncommercial-Share Alike 3.0 http://creativecommons.org/licenses/by-nc-sa/3.0/ application/pdf MIT Press MIT web domain |
| spellingShingle | Angrist, Joshua Kuersteiner, Guido M. Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title_full | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title_fullStr | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title_full_unstemmed | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title_short | Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score |
| title_sort | causal effects of monetary shocks semiparametric conditional independence tests with a multinomial propensity score |
| url | http://hdl.handle.net/1721.1/61874 https://orcid.org/0000-0001-6992-8956 |
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