University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics

fulltext etc. no fulltext attached
abstract Granger and Sims noncasuality (GSNC), a concept frequently applied in time series econometrics, is compared to noncausality based on concepts popular in microeconometrics, program evaluation, and epidemiology literature (potential outcome noncausality or 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 outcome variables to their observable counterparts. Based on the Robins' dynamic model of potential outcomes, we find that in general neither of the concepts implies each other without further (untestable) assumptions. However, the identifying assumptions associated with the sequential selection of the observables link these concepts such that GSNC implies PONC, and vice versa.
   
type journal paper
   
keywords Dynamic treatments, Granger causality, Potential outcome model, Rubin causality, Robins causality, Sims causality
JEL Classification: C21, C22, C23
   
language English
kind of paper journal article
date of appearance 1-2011
journal Econometric Reviews
publisher Taylor and Francis (Oxfordshire)
ISSN 0747-4938
ISSN (online) 1532-4168
DOI 10.1080/07474938.2011.520571
volume of journal 30
number of issue 1
page(s) 109-127
review blind review
   
citation Lechner, M. (2011). The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics. Econometric Reviews, 30(1), 109-127, DOI:10.1080/07474938.2011.520571.