Zaman, Asad (2008): Causal Relations via Econometrics.
Download (167Kb) | Preview
Applied econometric work takes a superficial approach to causality. Understanding economic affairs, making good policy decisions, and progress in the economic discipline depend on our ability to infer causal relations from data. We review the dominant approaches to causality in econometrics, and suggest why they fail to give good results. We feel the problem cannot be solved by traditional tools, and requires some out-of-the-box thinking. Potentially promising approaches to solutions are discussed.
|Item Type:||MPRA Paper|
|Original Title:||Causal Relations via Econometrics|
|Keywords:||causality, regression, Granger Causality, Exogeneity, Cowles Commission, Hendry Methodology, Natural Experiments|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C59 - Other|
|Depositing User:||Asad Zaman|
|Date Deposited:||30. Aug 2008 09:36|
|Last Modified:||12. Feb 2013 04:42|
John Aldrich, “Autonomy” Oxford Economic Papers, New Series, Vol. 41, No. 1, 1989, pp. 15-34.
Tahir Andrabi, Jishnu Dass, Asim Ijaz Khwaja, Tara Vishwanath, Tristan Zajonc, and the LEAPS team, PAKISTAN Learning and Educational Achievements in Punjab Schools (LEAPS): Insights to Inform the education policy debate. Feb 20, 2007. World Bank.
Angrist, Joshua D. and Alan B. Krueger. “Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments,” Journal of Economic Perspectives 15(4), 2001, 69-85.
Zahid Asghar, Investigation of Granger Causality, Ph.D. Thesis, Quaid-e-Azam University, 2007.
Abhijit Banerjee and Esther Duflo, “Growth Theory through the Lens of Development Economics,” manuscript, MIT, 2004.
Richard Ashley, "A New Technique for Postsample Model Selection and Validation," Journal of Economic Dynamics and Control 22, 1998,647-65
Baba, Y., Hendry, D.F., and Starr, R.M., “The Demand for M1 in the U.S.A., 1960-1988,” Review of Economic Studies, vol. 59, 1992 25-61.
Barro, Robert J., Determinants of Economic Growth: A Cross-Country Empirical Study (Cambridge, MA: MIT Press). 1997
Barberis, Nicholas and Thaler, Richard H., "A Survey of Behavioral Finance". NBER Working Paper No. W9222, 2002, http://ssrn.com/abstract=332266
Mark Blaug, “Disturbing Currents in Modern Economics,” Challenge, May-June 1998. Ben Bolch, “Is Macroeconomics Believable?” The Independent Review, Vol. II no. 4 Spring 1998.
Gary Burtless, “The Case for Randomized Field Trials in Economic and Policy Research” The Journal of Economic Perspectives, Vol. 9, No. 2 (Spring, 1995), pp. 63-84
A. C. Darnell and J. L. Evans, The Limits of Econometrics, Edward Elgar Pub., 1991
Engle, R.F., Hendry, D.F., and Richard, J.F. “Exogeneity.” Econometrica v. 51 (2), 1984,77-304.
Armin Falk and Ernst Fehr, Why labour market experiments? Labour Economics Volume 10, Issue 4, August 2003, Pages 399-406
Jon Faust and Charles H. Whiteman, “General-to-specific procedures fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and critique” Carnegie-Rochester Conference Series on Public Policy 47 (1997) 121-161 North-Holland
David Freedman, Robert Pisani, and Roger Purves, Statistics, Norton, 2007
David A. Freedman, Statistical Models: Theory and Practice, Cambridge University Press, 2005.
D.A. Freedman. “On specifying graphical models for causation and the identification problem.” Evaluation Review (2004) vol. 26 pp. 267-93. Reprinted in Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, Cambridge University Press (2005) pp. 56-79, D.W.K. Andrews and J.H. Stock, eds, download: http://www.stat.berkeley.edu/~census/rothsag.pdf
D. A. Freedman, “From Association to Causation via Regression.” in Causality in Crisis? ed. by V. McKim and S. Turner. South Bend: University of Notre Dame Press, pp. 113-82 (with discussion). Reprinted in Advances in Applied Mathematics 18: 59-110. 1997
D. A. Freedman, “Statistical Models and Shoe Leather”, Sociological Methodology, Vol. 21, 1991, pp. 291-313
D.A. Freedman, “On types of scientific enquiry: Nine success stories in medical research.” To appear in The Oxford Handbook of PoliticalMethodology Janet M. Box-Steffensmeier, Henry E. Brady and David Collier, editors. http://www.stat.berkeley.edu/~census/anomaly.pdf [PDF-Preprint]
J. J. Heckman, R. J. LaLonde, J. A. Smith, “The Economics and Econometrics of Active Labor Market Programs” in Handbook of Labor Economics, 1999
David F. Hendry, Dynamic Econometrics, Oxford University Press, 1995.
David F. Hendry, “The Roles of Economic Theory and Econometrics in Time-Series Economics,” Invited address, European Econometric Society, Stockholm, 1993
David F. Hendry, Econometrics: Alchemy or Science? Essays in Econometric Methodology, Oxford University Press, 2000.
David F. Hendry and Neil R. Ericsson, ‘An econometric analysis of UK money demand in `Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz’. American Economic Review, 81, 1991, 8-38.
J. Hey, "The Economic Journal: Report of the Managing Editor," Royal Economic Society Newsletter (January 1997): 3-5.
Kevin D. Hoover, Causality in Macroeconomics, Cambridge University Press, 2001.
Kevin D. Hoover, “Causality in Economics and Econometrics,” an entry for the New Palgrave Dictionary of Economics, 2006
David Jensen, “Data Snooping, Dredging and Fishing: The Dark Side of Data Mining -- A SIGKDD99 Panel Report,” SIGKDD Explorations. Vol 1, pp51-53, ACM SIGKDD, January 2000.
Daniel Kahneman, “Maps of Bounded Rationality: Psychology for Behavioral Economics,” American Economic Review Vol. 93 no. 5, 2003 pp.1449-1475
Hugo A. Keuzenkamp, Probability, Econometrics and Truth: The Methodology of Econometrics, Cambridge University Press, 2000.
Edward Leamer, Specification Searches: Ad Hoc Inference with Non Experimental Data, John Wiley and Sons, Inc., 1978.
Edward Leamer, “Let's Take the Con Out of Econometrics,” American Economic Review, 73, 1983, 31-43.
Richard Lynn and Tatu Vanhanen, IQ and the Wealth of Nations. Praeger, 2002
Julian R. Magnus, “The success of econometrics,” De Economist 147, No. 1, 1999, p50-58.
Edmund Phelps, Seven Schools of Macroeconomics Thought, Cambridge University Press, 1991
Francisco Rodríguez and Dani Rodrik, “Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence,” Macroeconomics Annual 2000, eds. Ben Bernanke and Kenneth S. Rogoff, MIT Press for NBER, Cambridge, MA, 2001.
Dani Rodrik, “Why We Learn Nothing from Regressing Economic Growth on Policies”, Harvard University Discussion Paper 2005.
Allan J. Rossman, “Televisions, Physicians, and Life Expectancy,” Journal of Statistics Education v.2, n.2 (1994)
Christopher A. Sims, “Macroeconomics and Reality,” Econometrica, 48, 1980, 1-48.
R. L. Thomas, Introductory Econometrics: Theory and Applications, 2nd edition, Longman, 1993.
Thomas Volken, "IQ and the Wealth of Nations. A Critique of Richard Lynn and Tatu Vanhanen's Recent Book." European Sociological Review 19 (4), September 2003.