1 / 41

Chapter 15

Chapter 15. Estimation of Dynamic Causal Effects. Estimation of Dynamic Causal Effects (SW Chapter 15). The Orange Juice Data (SW Section 15.1). Initial OJ regression. Dynamic Causal Effects (SW Section 15.2). Dynamic causal effects, ctd. . Dynamic causal effects, ctd. .

tyler
Download Presentation

Chapter 15

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Chapter 15 Estimation of Dynamic Causal Effects

  2. Estimation of Dynamic Causal Effects (SW Chapter 15)

  3. The Orange Juice Data(SW Section 15.1)

  4. Initial OJ regression

  5. Dynamic Causal Effects(SW Section 15.2)

  6. Dynamic causal effects, ctd.

  7. Dynamic causal effects, ctd.

  8. Dynamic causal effects and the distributed lag model

  9. Exogeneity in time series regression

  10. Estimation of Dynamic Causal Effects with Exogenous Regressors (SW Section 15.3)

  11. The distributed lag model, ctd.

  12. The distributed lag model, ctd.

  13. Under the Distributed Lag Model Assumptions:

  14. Heteroskedasticity and Autocorrelation-Consistent (HAC) Standard Errors (SW Section 15.4)

  15. HAC standard errors, ctd.

  16. HAC standard errors, ctd.

  17. HAC standard errors, ctd.

  18. Expression for var(), general T

  19. HAC Standard Errors

  20. HAC SEs, ctd.

  21. Example: OJ and HAC estimators in STATA

  22. Example: OJ and HAC estimators in STATA, ctd

  23. Example: OJ and HAC estimators in STATA, ctd.

  24. FAQ: Do I need to use HAC SEs when I estimate an AR or an ADL model?

  25. Estimation of Dynamic Causal Effects with Strictly Exogenous Regressors (SW Section 15.5)

  26. Analysis of the OJ Price Data(SW Section 15.6)

  27. Digression: Computation of cumulative multipliers and their standard errors

  28. Computing cumulative multipliers, ctd.

  29. Computing cumulative multipliers, ctd.

  30. Computing cumulative multipliers, ctd.

  31. Are the OJ dynamic effects stable?

  32. OJ: Do the breaks matter substantively?

  33. When Can You Estimate Dynamic Causal Effects? That is, When is Exogeneity Plausible? (SW Section 15.7)

  34. Is exogeneity (or strict exogeneity) plausible? Examples:

  35. Exogeneity, ctd.

  36. Estimation of Dynamic Causal Effects: Summary (SW Section 15.8)

More Related