Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach
Fiammetta Menchetti,
Fabrizio Cipollini,
Fabrizia Mealli
Abstract:The Rubin Causal Model (RCM) is a framework that allows to define the causal effect of an intervention as a contrast of potential outcomes. In recent years, several methods have been developed under the RCM to estimate causal effects in time series settings. None of these makes use of ARIMA models, which are instead very common in the econometrics literature. In this paper, we propose a novel approach, C-ARIMA, to define and estimate the causal effect of an intervention in a time series setting under the RCM. … Show more
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