| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20978 |
| 来源ID | Working Paper 20978 |
| Beyond Random Assignment: Credible Inference of Causal Effects in Dynamic Economies | |
| Christopher A. Hennessy; Ilya A. Strebulaev | |
| 发表日期 | 2015-03-02 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Random assignment is insufficient for measured treatment responses to recover causal effects (comparative statics) in dynamic economies. We characterize analytically bias probabilities and magnitudes. If the policy variable is binary there is attenuation bias. With more than two policy states, treatment responses can undershoot, overshoot, or have incorrect signs. Under permanent random assignment, treatment responses overshoot (have incorrect signs) for realized changes opposite in sign to (small relative to) expected changes. We derive necessary and sufficient conditions, beyond random assignment, for correct inference of causal effects: martingale policy variable. Infinitesimal transition rates are only sufficient absent fixed costs. Stochastic monotonicity is sufficient for correct sign inference. If these conditions are not met, we show how treatment responses can nevertheless be corrected and mapped to causal effects or extrapolated to forecast responses to future policy changes within or across policy generating processes. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Corporate Finance |
| URL | https://www.nber.org/papers/w20978 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578653 |
| 推荐引用方式 GB/T 7714 | Christopher A. Hennessy,Ilya A. Strebulaev. Beyond Random Assignment: Credible Inference of Causal Effects in Dynamic Economies. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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