Neil Shephard presents "When do common time series estimands have nonparametric causal meaning"

Presentation Date: 

Wednesday, October 6, 2021


CGIS Knafel Building (K354) - 12:10-1:30 pm

The nonparametric potential outcome system provides a foundational framework for giving conditions under which common predictive time series statistical estimands, such as the impulse response function, generalized impulse response function, local projection and local projection instrument variables, have a nonparametric causal interpretation in terms of dynamic causal effects.


This is joint work with Ashesh Rambachan.

See also: 2021