The Relation of Different Concepts of Causality in Econometrics
University of St.Gallen, Department of Economics, Discussion Paper Series No. 2006-15
25 Pages Posted: 14 Jul 2006
Date Written: June 2006
Granger and Sims non-causality (GSNC) are compared to non-causality based on concepts popular in the microeconometrics and programme evaluation literature (potential outcome non-causality, PONC). GSNC is defined as a set of restrictions on joint distributions of random variables with observable sample counterparts, whereas PONC combines restrictions on partially unobservable variables (potential outcomes) with different identifying assumptions that relate potential to observable outcomes. Based on a dynamic model of potential outcomes, we find that in general neither of the concepts implies each other without further assumptions. However, identifying assumptions of the sequential selection non observable type provide the link between those concepts, such that GSNC implies PONC, and vice versa.
Keywords: Granger causality, Sims causality, Rubin causality, potential outcome model, dynamic
JEL Classification: C21, C22, C23
Suggested Citation: Suggested Citation