This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general...

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...

This paper demonstrates the extensive scope of an alternative to standard instrumental variables methods, namely covariate-based methods, for identifying and estimating effects of interest in general structural systems. As we show, commonly used econometric methods, specifically parametric,...

The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl's Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each...

We examine the econometric implications of the decision problem faced by a profit/utility-maximizing lender operating in a simple "double-binary" environment, where the two actions available are "approve" or "reject", and the two states of the world are "pay back" or "default". In practice, such...

Using a generally applicable dynamic structural system of equations, we give natural definitions of direct and total structural causality applicable to both structural vector autoregressions (VARs) and recursive structures representing time-series natural experiments. These concepts enable us to...

We take a model selection approach to real-time macroeconomic forecasting using linear and nonlinear models. True ex-ante forecasting are constructed by using unrevised as opposed to fully revised data. Model selection as well as model performance measures are considered.

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...