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Testing a Conditional Form of Exogeneity

White, Halbert; Chalak, Karim - Department of Economics, Boston College - 2010

We give two new approaches to testing a conditional form of exogeneity. This condition ensures unconfoundedness and identification of effects of interest in structural systems. As these approaches do not rely on the absence of causal effects of treatment under the null, they complement earlier...

Persistent link: https://www.econbiz.de/10008518872

Identification of Local Treatment Effects Using a Proxy for an Instrument

Chalak, Karim - Department of Economics, Boston College - 2010

The method of indirect least squares (ILS) using a proxy for a discrete instrument is shown to identify a weighted average of local treatment effects. The weights are nonnegative if and only if the proxy is intensity preserving for the instrument. A similar result holds for instrumental...

Persistent link: https://www.econbiz.de/10008522480

Causality, Conditional Independence, and Graphical Separation in Settable Systems

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2008

definitions in terms of functional dependence for direct, indirect, and total causality as well as for (indirect) causality via …

Persistent link: https://www.econbiz.de/10005074154

An Extended Class of Instrumental Variables for the Estimation of Causal Effects

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2007

This paper examines the ways in which structural systems can yield observed variables, other than the cause or treatment of interest, that can play an instrumental role in identifying and estimating causal effects. We focus speciÖcally on the ways in which structures determine exclusion...

Persistent link: https://www.econbiz.de/10005027845

Identification of Average Random Coefficients under Magnitude and Sign Restrictions on Confounding

Chalak, Karim - Department of Economics, Boston College - 2012

This paper studies measuring the average effects of X on Y in a structural system with random coefficients and confounding. We do not require (conditionally) exogenous regressors or instruments. Using proxies W for the confounders U, we ask how do the average direct effects of U on Y compare in...

Persistent link: https://www.econbiz.de/10010595747

A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency

Barkoulas, John; Baum, Christopher F. - Department of Economics, Boston College - 1996

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from … the model over longer data sets. We show that instability of the Johansen cointegration tests mostly disappears after … accounting for these two factors. The evidence is even more stable in favor of no cointegration when we apply our analysis to …

Persistent link: https://www.econbiz.de/10004968805

The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test

Baum, Christopher; Chakraborty, Atreya; Delcoure, Natalya; … - Department of Economics, Boston College - 2000

-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the …

Persistent link: https://www.econbiz.de/10004968828

A re-evaluation of empirical tests of the Fisher hypothesis

Baum, Christopher; Bekdache, Basma - Department of Economics, Boston College - 2000

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …

Persistent link: https://www.econbiz.de/10004968859

Quantile Cointegrating Regression

Xiao, Zhijie - Department of Economics, Boston College - 2009

. In addition, a new cointegration model with varying coefficients is proposed. In the proposed model, the value of … viewed as a stochastic cointegration model which includes the conventional cointegration model as a special case. It also … provides a useful complement to cointegration models with (G)ARCH effects. Asymptotic properties of the proposed model and …

Persistent link: https://www.econbiz.de/10004995333

Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era

Baum, Christopher; Caglayan, Mustafa; Barkoulas, John - Department of Economics, Boston College - 1998

This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. We estimate exponential smooth transition autoregressive (ESTAR) models of...

Persistent link: https://www.econbiz.de/10005102709