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Time and Causality: A Monte Carlo Assessment of the Timing-of-Events Approach

  • Gaure, Simen

    ()

    (Centre for Information Technology Services, University of Oslo and The Ragnar Frisch Centre for Economic Research)

  • Røed, Knut

    ()

    (The Ragnar Frisch Centre for Economic Research)

  • Zhang, Tao

    ()

    (The Ragnar Frisch Centre for Economic Research)

We present new Monte Carlo evidence regarding the feasibility of separating causality from selection within non-experimental interval-censored duration data, by means of the nonparametric maximum likelihood estimator (NPMLE). Key findings are: i) the NPMLE is extremely reliable, and it accurately separates the causal effects of treatment and duration dependence from sorting effects, almost regardless of the true unobserved heterogeneity distribution; ii) the NPMLE is normally distributed, and standard errors can be computed directly from the optimally selected model; and iii)unjustified restrictions on the heterogeneity distribution, e.g., in terms of a prespecified number of support points, may cause substantial bias.

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File URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2005/Memo-19-2005.pdf
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Paper provided by Oslo University, Department of Economics in its series Memorandum with number 19/2005.

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Length: 60 pages
Date of creation: 05 Aug 2005
Date of revision:
Handle: RePEc:hhs:osloec:2005_019
Contact details of provider: Postal:
Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

Phone: 22 85 51 27
Fax: 22 85 50 35
Web page: http://www.oekonomi.uio.no/indexe.html
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