Ashesh Rambachan, Neil Shephard
arXiv 5 Mar 2019 · Econometrics · 12 citations (OpenAlex)
arXiv:1903.01637 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we introduce the direct potential outcome system as a framework for analyzing dynamic causal effects of assignments on outcomes in observational time series settings. We provide conditions under which common predictive time series estimands, such as the impulse response function, generalized impulse response function, local projection, and local projection instrumental variables, have a nonparametric causal interpretation in terms of dynamic causal effects. The direct potential outcome system therefore provides a foundation for analyzing popular reduced-form methods for estimating the causal effect of macroeconomic shocks on outcomes in time series settings.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stock, J. H. and M. W. Watson (2018) Identification and estimation of dynamic causal effects in macroeconomics using external instruments | 1.000 | 10 | 5 | 100% |
| 2 | Jordá, Óscar., M. Schularick, and A. M. Taylor (2020) The effects of quasi-random monetary experiments | 1.000 | 8 | 5 | 100% |
| 3 | Plagborg-Mller, M. and C. K. Wolf (2022) Instrumental variable identification of dynamic variance decompositions | 1.000 | 6 | 4 | 100% |
| 4 | Sims, C. A (1980) Macroeconomics and reality | 1.000 | 6 | 4 | 100% |
| 5 | Jordá, Óscar., M. Schularick, and A. M. Taylor (2015) Betting the house | 1.000 | 6 | 3 | 100% |
| 6 | Ramey, V. A. and S. Zubairy (2018) Government spending multipliers in good times and in bad: Evidence from US historical data | 1.000 | 5 | 4 | 100% |
| 7 | Gertler, M. L. and P. Karadi (2015) Monetary policy surprises, credit costs, and economic activity | 1.000 | 5 | 3 | 100% |
| 8 | Ramey, V. A (2016) Macroeconomics shocks and their propagation | 0.928 | 4 | 3 | 100% |
| 9 | Jordá, Óscar (2005) Estimation and inference of impulse responses by local projections | 0.843 | 3 | 3 | 100% |
| 10 | Nakamura, E. and J. Steinsson (2018) Identification in macroeconomics | 0.843 | 3 | 3 | 100% |
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