Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
Joshua Angrist and Guido Kuersteiner ,
( 93 )
The Review of Economics and Statistics

Macroeconomists have long been concerned with the causal e§ects of monetary policy. When the identiÖcation of causal e§ects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a semiparametric test for conditional independence in time series models linking a multinomial policy variable with unobserved potential outcomes. Our approach to conditional independence testing is motivated by earlier parametric tests, as in Romer and Romer (1989, 1994, 2004).

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