Causal Transmission in Reduced-Form Models

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.

• Publication year

  2015

• Venue

  Econometrics

• Publication date

  2015-07-13

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.3390/econometrics10020014
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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