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  • 标题:Causal Transmission in Reduced-Form Models
  • 本地全文:下载
  • 作者:Vassilios Bazinas ; Bent Nielsen
  • 期刊名称:Econometrics
  • 印刷版ISSN:2225-1146
  • 出版年度:2022
  • 卷号:10
  • 期号:2
  • 页码:14
  • DOI:10.3390/econometrics10020014
  • 语种:English
  • 出版社:MDPI, Open Access Journal
  • 摘要: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.
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