A conditional independence test for causality in econometrics
用于计量经济学因果分析的条件独立性检验
The Y-test is a useful tool for detecting missing confounders in the context of a multivariate regression.However, it is rarely used in practice since it requires identifying multiple conditionally independent instruments, which is often impossible. We propose a heuristic test which relaxes the independence requirement. We then show how to apply this heuristic test on a price-demand and a firm loan-productivity problem. We conclude that the test is informative when the…