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来源类型Working Paper
规范类型报告
DOI10.3386/w20978
来源IDWorking 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
URLhttps://www.nber.org/papers/w20978
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578653
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GB/T 7714
Christopher A. Hennessy,Ilya A. Strebulaev. Beyond Random Assignment: Credible Inference of Causal Effects in Dynamic Economies. 2015.
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