When do common time series estimands have nonparametric causal meaning?

In this paper, we introduce the direct potential outcome system as a framework for analyzing dynamic causal effects of assignments on outcomes in observational time series settings. We provide conditions under which common predictive time series estimands, such as the impulse response function, generalized impulse response function, local projection, and local projection instrumental variables, have a nonparametric causal interpretation in terms of dynamic causal effects. The direct potential outcome system therefore provides a foundation for analyzing popular reduced-form methods for estimating the causal effect of macroeconomic shocks on outcomes in time series settings.