• Media type: Report; E-Book
  • Title: Asymptotic bias of OLS in the presence of reverse causality
  • Contributor: Basu, Deepankar [Author]
  • imprint: Amherst, MA: University of Massachusetts, Department of Economics, 2015
  • Language: English
  • Keywords: simultaneity bias ; C10 ; C30 ; reverse causality
  • Origination:
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  • Description: In this paper, I derive an expression for the asymptotic bias in the OLS estimator of the partial effect of a regressor on the dependent variable when there is reverse causality and all variables in the model are covariance stationary. I show that the sign of the asymptotic bias depends only on the signs of the bi-directional causal effects.
  • Access State: Open Access