Journal article
Causal transmission in reduced-form models
- Abstract:
- We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables given the catalyst. The method combines elements from instrumental variable analysis and Cholesky decomposition of structural vector autoregressions. We give conditions for uniqueness of the causal transmission.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Version of record, 495.2KB)
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- Publisher copy:
- 10.3390/econometrics10020014
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Authors
Bibliographic Details
- Publisher:
- MDPI Publisher's website
- Journal:
- Econometrics Journal website
- Volume:
- 10
- Issue:
- 2
- Article number:
- 14
- Publication date:
- 2022-03-24
- Acceptance date:
- 2022-03-10
- DOI:
- EISSN:
-
2225-1146
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1244008
- Local pid:
- pubs:1244008
- Deposit date:
- 2022-03-15
Terms of use
- Copyright holder:
- Bazinas and Nielsen
- Copyright date:
- 2022
- Rights statement:
- ©2022 The Author(s). This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited
- Licence:
- CC Attribution (CC BY)
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