Asymptotic bias of OLS in the presence of reverse causality

In this paper, I derive an expression for the asymptotic bias in the OLS estimator of the partial effect of a regressor on the dependent variable when there is reverse causality and all variables in the model are covariance stationary. I show that the sign of the asymptotic bias depends only on the signs of the bi-directional causal effects.

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Year of publication:	2015
Authors:	Basu, Deepankar
Publisher:	Amherst, MA : University of Massachusetts, Department of Economics
Subject:	reverse causality \| simultaneity bias

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Series:	Working Paper ; 2015-18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	865947090 [GVK] hdl:10419/174391 [Handle] RePEc:ums:papers:2015-18 [RePEc]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011788885