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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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Publisher copy:
10.3390/econometrics10020014

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Author
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
Language:
English
Keywords:
Pubs id:
1244008
Local pid:
pubs:1244008
Deposit date:
2022-03-15

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