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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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Retrospective Estimation of Causal Effects Through Time *

Retrospective Estimation of Causal Effects Through Time *

(p.59) 3 Retrospective Estimation of Causal Effects Through Time*
The Methodology and Practice of Econometrics

Halbert White

Pauline Kennedy

Oxford University Press

This chapter provides methods for estimating a variety of retrospective measures of causal effects in systems of dynamic structural equations. These equations need not be linear or separable. Structural identification of effects of interest is ensured by certain conditional exogeneity conditions, an extension of the notion of strict exogeneity. The covariates ensuring conditional exogeneity can contain not only lags but also leads of suitable proxies for unobservables. The chapter focuses on covariate-conditioned average and quantile effects, together with counterfactual objects that are associated with these, such as point bands and path bands. The latter are useful for constructing confidence intervals and testing hypotheses. The chapter shows how these objects can be estimated using state-space methods, and illustrates with a study of the impact of crude oil prices on gasoline prices.

Keywords:   causality, exogeneity, identification, retrospective conditioning, quantile effects, gasoline prices

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