Asymptotic bias of OLS in the presence of reverse causality

by Deepankar Basu

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:	November 21, 2015
Authors:	Basu, Deepankar
Publisher:	Amherst : Department of Economics, University of Massachusetts
Subject:	reverse causality \| simultaneity bias \| Kausalanalyse \| Causality analysis \| Systematischer Fehler \| Bias \| Theorie \| Theory \| Kleinste-Quadrate-Methode \| Least squares method

Extent:	1 Online-Ressource (circa 9 Seiten)
Series:	Economics Department working paper series. - Amherst, Mass. : [Verlag nicht ermittelbar], ZDB-ID 2407593-0. - Vol. 2015-18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/174391 [Handle]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011522173