When are time series predictions causal? The potential system and dynamic causal effects

Authors: Jacob Carlson, Neil Shephard

Year: 2026

econ.EMstat.ME

0
Citations
2026
Published
2
Authors

Abstract

The potential system is a nonparametric time series model for assessing the causal impact of moving an assignment at time $t$ on an outcome at future time $t+h$, accounting for the presence of features. The potential system provides nonparametric content for, e.g., time series experiments, time series regression, local projection, impulse response functions and SVARs. It closes a gap between time series causality and nonparametric cross-sectional causal methods, and provides a foundation for many new methods which have causal content.

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