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The Relation of Different Concepts of Causality in Econometrics

abstract Granger and Sims non-causality (GSNC) are compared to non-causality based on concepts popular in the microeconometrics and programme evaluation literature (potential outcome non-causality, PONC). GSNC is defined as a set of restrictions on joint distributions of random variables with observable sample counterparts, whereas PONC combines restrictions on partially unobservable variables (potential outcomes) with different identifying assumptions that relate potential to observable outcomes. Based on a dynamic model of potential outcomes, we find that in general neither of the concepts implies each other without further assumptions. However, identifying assumptions of the sequential selection on observable type provide the link between those concepts, such that GSNC implies PONC, and vice versa.
   
type discussion paper (English)
   
keywords Granger causality, Sims causality, Rubin causality, potential outcome model, dynamic treatments
   
date of appearance 15-6-2006
issuing department Volkswirtschaftliche Abteilung, Universit├Ąt St. Gallen
series of paper Diskussionspapier (2006-15)
review not reviewed
   
citation Lechner, M., Volkswirtschaftliche Abteilung, Universit├Ąt St. Gallen (Eds.), (2006). The Relation of Different Concepts of Causality in Econometrics. Diskussionspapier, 2006-15.