Linked Questions
52 questions linked to/from Under which assumptions a regression can be interpreted causally?
9
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answers
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What is the relationship between minimizing prediction error versus parameter estimation error?
With the advent of statistical learning techniques, people are talking a lot about prediction error, while in classical statistics, one is focusing on parameter estimation error. What is the ...
- 3,184
5
votes
3
answers
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Measurement error in one indep variable in OLS with multiple regression
Suppose I regress (with OLS) $y$ on $x_1$ and $x_2$. Suppose I have i.i.d. sample of size n, and that $x_1$ is observed with error but $y$ and $x_2$ are observed without error. What is the probability ...
- 104
18
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2
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How would econometricians answer the objections and recommendations raised by Chen and Pearl (2013)?
In their article, Chen and Pearl (2013), critically examined 6 econometric textbooks, among these the textbooks written by Wooldridge (2009) {the introductory book}, and Stock & Watson (2011). ...
- 4,792
3
votes
2
answers
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Regression and the CEF
I recently read in this page (https://www.timlrx.com/2018/02/26/notes-on-regression-approximation-of-the-conditional-expectation-function/#fn1) that:
"Regression offers a way of approximating ...
8
votes
3
answers
887
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Are all statistical models also causal models?
I'm just starting to learn about causal inference methods, focused on Pearl's do-calculus.
So the point between Pearl's causal graphs and rules for manipulating causal graphs appears to be to turn a ...
- 241
5
votes
2
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738
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regression and causation
In the Chen and Pearl (2013) article there are several critics about econometrics textbooks. Currently I try to understand more about it.
In particular the Authors written (pag 4, footnote 5):
From ...
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3
votes
2
answers
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Interpreting interaction term when X1 effect on Y depends on X2 but X2 effect on Y does not depend on X1
Imagine a set of variables, X1, X2, and Y, all continuous variables.
There is a simple case where X1 and X2 affect Y such that:
Y = alpha + β1 X1 + β2 X2 + error
Using R syntax, a model to analyze ...
- 327
2
votes
3
answers
2k
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Endogeneity testing using correlation test
I am currently testing my linear model using OLS method. The last thing I have to test is endogeneity issue. Is it enough if I test each explanatory variable for correletion with error term? Than ...
- 31
8
votes
1
answer
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What's the DGP in causal inference?
This question come from this discussion (Under which assumptions a regression can be interpreted causally? ). That discussion touch too arguments and is not possible to speak about all things there. ...
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3
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2
answers
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Is it possible for the zero conditional mean assumption to fail?
I have a questions about the so-called "zero conditional mean" assumption often made in the context of regression analysis. I am struggling to see how it could be violated, or rather where ...
- 303
1
vote
2
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Regression's population parameters
Suppose I've specified a linear regression model:
$$
Y = \beta_0 + \beta_1 X + \epsilon
$$
where $\beta_0$, $\beta_1$ are the population parameters. My question is: why are these parameters ...
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2
votes
2
answers
358
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Why are error properties in linear regression assumptions if they are true by construction?
The following two results on the residuals ($\epsilon$) in the case of linear regression get stated as assumptions of the linear regressions
$E(\epsilon) = 0$
$cov(X, \epsilon) = 0$
Here is MIT 18....
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0
votes
2
answers
3k
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Zero conditional expectation of error in OLS regression
Suppose we have a dependent variable $Y$ and an independent variable $X$ in a population, and we want to estimate the linear model
$$
Y = \beta_{0} + \beta_{1}X + \varepsilon
$$
Using the least-...
- 245
0
votes
1
answer
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OLS Assumption-No correlation should be there between error term and independent variable and error term and dependent variable
My question is that does endogeneity exists if there is correlation between dependent variable and error term, but not in between error term and independent variable. So for Ex, we know there should ...
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8
votes
1
answer
847
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conditional and interventional expectation
Conditional expectation $E[Y|X]$ and interventional expectation $E[Y|do(X)]$ are related but conceptually very different things.
I know that if $X$ is a randomly assigned by an experiment, we have ...
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