메뉴 건너뛰기




Volumn 9, Issue 1, 2015, Pages 247-274

Inferring causal impact using bayesian structural time-series models

Author keywords

Advertising; Causal inference; Counterfactual; Difference in differences; Econometrics; Market research; Observational; Synthetic control

Indexed keywords


EID: 84929676275     PISSN: 19326157     EISSN: 19417330     Source Type: Journal    
DOI: 10.1214/14-AOAS788     Document Type: Article
Times cited : (713)

References (63)
  • 1
    • 13244283045 scopus 로고    scopus 로고
    • Semiparametric difference-in-differences estimators
    • MR2116973
    • ABADIE, A. (2005). Semiparametric difference-in-differences estimators. Rev. Econom. Stud. 72 1–19. MR2116973.
    • (2005) Rev. Econom. Stud , vol.72 , pp. 1-19
    • Abadie, A.1
  • 2
    • 78649343503 scopus 로고    scopus 로고
    • Synthetic control methods for comparative case studies: Estimating the effect of California’s tobacco control program
    • MR2759929
    • ABADIE, A., DIAMOND, A. and HAINMUELLER, J. (2010). Synthetic control methods for comparative case studies: Estimating the effect of California’s tobacco control program. J. Amer. Statist. Assoc. 105 493–505. MR2759929.
    • (2010) J. Amer. Statist. Assoc , vol.105 , pp. 493-505
    • Abadie, A.1    Diamond, A.2    Hainmueller, J.3
  • 3
    • 0742303353 scopus 로고    scopus 로고
    • The economic costs of conflict: A case study of the basque country. Amer
    • ABADIE, A. and GARDEAZABAL, J. (2003). The economic costs of conflict: A case study of the basque country. Amer. Econ. Rev. 93 113–132.
    • (2003) Econ. Rev , vol.93 , pp. 113-132
    • Abadie, A.1    Gardeazabal, J.2
  • 6
    • 78649906323 scopus 로고    scopus 로고
    • On making causal claims: A review and recommendations
    • ANTONAKIS, J., BENDAHAN, S., JACQUART, P. and LALIVE, R. (2010). On making causal claims: A review and recommendations. Leadersh. Q. 21 1086–1120.
    • (2010) Leadersh. Q , vol.21 , pp. 1086-1120
    • Antonakis, J.1    Bendahan, S.2    Jacquart, P.3    Lalive, R.4
  • 7
    • 0001099066 scopus 로고
    • Using the longitudinal structure of earnings to estimate the effect of training programs
    • ASHENFELTER, O. and CARD, D. (1985). Using the longitudinal structure of earnings to estimate the effect of training programs. Rev. Econ. Stat. 67 648–660.
    • (1985) Rev. Econ. Stat , vol.67 , pp. 648-660
    • Ashenfelter, O.1    Card, D.2
  • 10
    • 34548614254 scopus 로고    scopus 로고
    • Modeling Internet firm survival using Bayesian dynamic models with time-varying coefficients
    • BANERJEE, S., KAUFFMAN, R. J. and WANG, B. (2007). Modeling Internet firm survival using Bayesian dynamic models with time-varying coefficients. Electron. Commer. Res. Appl. 6 332–342.
    • (2007) Electron. Commer. Res. Appl , vol.6 , pp. 332-342
    • Banerjee, S.1    Kauffman, R.J.2    Wang, B.3
  • 14
    • 57749175311 scopus 로고    scopus 로고
    • Models of causal inference: Going beyond the Neyman-Rubin-Holland theory
    • Boston, MA
    • BRADY, H. E. (2002). Models of causal inference: Going beyond the Neyman-Rubin-Holland theory. In Annual Meetings of the Political Methodology Group, Boston, MA.
    • (2002) Annual Meetings of the Political Methodology Group
    • Brady, H.E.1
  • 16
    • 70349440988 scopus 로고    scopus 로고
    • A new data mining approach to estimate causal effects of policy interventions
    • CAMILLO, F. and D’Attoma, I. (2010). A new data mining approach to estimate causal effects of policy interventions. Expert Syst. Appl. 37 171–181.
    • (2010) Expert Syst. Appl , vol.37 , pp. 171-181
    • Camillo, F.1    D’Attoma, I.2
  • 18
    • 0039215916 scopus 로고
    • Minimum wages and employment: A case study of the fast food industry in New Jersey and Pennsylvania. Technical report
    • Cambridge, MA
    • CARD, D. and KRUEGER, A. B. (1993). Minimum wages and employment: A case study of the fast food industry in New Jersey and Pennsylvania. Technical report, National Bureau of Economic Research, Cambridge, MA.
    • (1993) National Bureau of Economic Research
    • Card, D.1    Krueger, A.B.2
  • 19
    • 0000193853 scopus 로고
    • On Gibbs sampling for state space models
    • MR1311096
    • CARTER, C. K. and KOHN, R. (1994). On Gibbs sampling for state space models. Biometrika 81 541–553. MR1311096.
    • (1994) Biometrika , vol.81 , pp. 541-553
    • Carter, C.K.1    Kohn, R.2
  • 22
    • 84872495111 scopus 로고    scopus 로고
    • The Russo–Williamson Theses in the social sciences: Causal inference drawing on two types of evidence
    • CLAVEAU, F. (2012). The Russo–Williamson Theses in the social sciences: Causal inference drawing on two types of evidence. Stud. Hist. Philos. Biol. Biomed. Sci. 43 806–813.
    • (2012) Stud. Hist. Philos. Biol. Biomed. Sci , vol.43 , pp. 806-813
    • Claveau, F.1
  • 23
    • 62249110119 scopus 로고    scopus 로고
    • Causal inference and statistical fallacies
    • Neil J. Smelser and P. B. Baltes, eds.), Pergamon, Oxford
    • COX, D. and WERMUTH, N. (2001). Causal inference and statistical fallacies. In International Encyclopedia of the Social & Behavioral Sciences (Neil J. Smelser and P. B. Baltes, eds.) 1554–1561. Pergamon, Oxford.
    • (2001) International Encyclopedia of the Social & Behavioral Sciences , pp. 1554-1561
    • Cox, D.1    Wermuth, N.2
  • 24
    • 0042541623 scopus 로고    scopus 로고
    • Determining the optimal return on investment for an advertising campaign. European
    • DANAHER, P. J. and RUST, R. T. (1996). Determining the optimal return on investment for an advertising campaign. European J. Oper. Res. 95 511–521.
    • (1996) J. Oper. Res , vol.95 , pp. 511-521
    • Danaher, P.J.1    Rust, R.T.2
  • 25
    • 0001325243 scopus 로고
    • The simulation smoother for time series models
    • MR1354233
    • DE JONG, P. and SHEPHARD, N. (1995). The simulation smoother for time series models. Biometrika 82 339–350. MR1354233.
    • (1995) Biometrika , vol.82 , pp. 339-350
    • De Jong, P.1    Shephard, N.2
  • 26
    • 34248356423 scopus 로고    scopus 로고
    • Inference with difference-in-differences and other panel data
    • DONALD, S. G. and LANG, K. (2007). Inference with difference-in-differences and other panel data. Rev. Econ. Stat. 89 221–233.
    • (2007) Rev. Econ. Stat , vol.89 , pp. 221-233
    • Donald, S.G.1    Lang, K.2
  • 27
    • 3142711588 scopus 로고    scopus 로고
    • A simple and efficient simulation smoother for state space time series analysis
    • MR1929166
    • DURBIN, J. and KOOPMAN, S. J. (2002). A simple and efficient simulation smoother for state space time series analysis. Biometrika 89 603–615. MR1929166.
    • (2002) Biometrika , vol.89 , pp. 603-615
    • Durbin, J.1    Koopman, S.J.2
  • 28
    • 84981426681 scopus 로고
    • Data augmentation and dynamic linear models
    • MR1263889
    • Frühwirth-Schnatter, S. (1994). Data augmentation and dynamic linear models. J. Time Series Anal. 15 183–202. MR1263889.
    • (1994) J. Time Series Anal , vol.15 , pp. 183-202
    • Frühwirth-Schnatter, S.1
  • 29
  • 30
    • 0031526204 scopus 로고    scopus 로고
    • Approaches for Bayesian variable selection. Statist
    • GEORGE, E. I. and MCCULLOCH, R. E. (1997). Approaches for Bayesian variable selection. Statist. Sinica 7 339–374.
    • (1997) Sinica , vol.7 , pp. 339-374
    • George, E.I.1    McCulloch, R.E.2
  • 31
    • 80054681355 scopus 로고    scopus 로고
    • Rao-Blackwellization for Bayesian variable selection and model averaging in linear and binary regression: A novel data augmentation approach
    • MR2894762
    • GHOSH, J. and CLYDE, M. A. (2011). Rao-Blackwellization for Bayesian variable selection and model averaging in linear and binary regression: A novel data augmentation approach. J. Amer. Statist. Assoc. 106 1041–1052. MR2894762.
    • (2011) J. Amer. Statist. Assoc , vol.106 , pp. 1041-1052
    • Ghosh, J.1    Clyde, M.A.2
  • 32
    • 34848881029 scopus 로고    scopus 로고
    • Asymptotic properties of a robust variance matrix estimator for panel data when T is large
    • MR2413481
    • HANSEN, C. B. (2007a). Asymptotic properties of a robust variance matrix estimator for panel data when T is large. J. Econometrics 141 597–620. MR2413481.
    • (2007) J. Econometrics , vol.141 , pp. 597-620
    • Hansen, C.B.1
  • 33
    • 34547673111 scopus 로고    scopus 로고
    • Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
    • MR2408922
    • HANSEN, C. B. (2007b). Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects. J. Econometrics 140 670–694. MR2408922.
    • (2007) J. Econometrics , vol.140 , pp. 670-694
    • Hansen, C.B.1
  • 34
    • 66049161687 scopus 로고    scopus 로고
    • Econometric evaluation of social programs, Part I: Causal models, structural models and econometric policy evaluation
    • J. J. Heckman and E. E. Leamer, eds.), Elsevier, Amsterdam
    • HECKMAN, J. J. and VYTLACIL, E. J. (2007). Econometric evaluation of social programs, Part I: Causal models, structural models and econometric policy evaluation. In Handbook of Econometrics 6, Part B (J. J. Heckman and E. E. Leamer, eds.) 4779–4874. Elsevier, Amsterdam.
    • (2007) Handbook of Econometrics , vol.6 , pp. 4779-4874
    • Heckman, J.J.1    Vytlacil, E.J.2
  • 35
    • 77954523974 scopus 로고    scopus 로고
    • Do all and only causes raise the probabilities of effects?
    • MIT Press, Cambridge
    • HITCHCOCK, C. (2004). Do all and only causes raise the probabilities of effects? In Causation and Counterfactuals. MIT Press, Cambridge.
    • (2004) Causation and Counterfactuals
    • Hitchcock, C.1
  • 36
    • 84882489647 scopus 로고    scopus 로고
    • Economic theory and causal inference
    • U. Mäki, ed.), Elsevier, Amsterdam
    • HOOVER, K. D. (2012). Economic theory and causal inference. In Philosophy of Economics 13 (U. Mäki, ed.) 89–113. Elsevier, Amsterdam.
    • (2012) Philosophy of Economics 13 , pp. 89-113
    • Hoover, K.D.1
  • 37
    • 84855951317 scopus 로고    scopus 로고
    • A review of causal inference for biomedical informatics
    • KLEINBERG, S. and HRIPCSAK, G. (2011). A review of causal inference for biomedical informatics. J. Biomed. Inform. 44 1102–1112.
    • (2011) J. Biomed. Inform , vol.44 , pp. 1102-1112
    • Kleinberg, S.1    Hripcsak, G.2
  • 39
    • 0003104249 scopus 로고
    • Shortcomings of marginal analysis for wage-employment problems
    • LESTER, R. A. (1946). Shortcomings of marginal analysis for wage-employment problems. Amer. Econ. Rev. 36 63–82.
    • (1946) Amer. Econ. Rev , vol.36 , pp. 63-82
    • Lester, R.A.1
  • 40
    • 80052675732 scopus 로고    scopus 로고
    • Here, there, and everywhere: Correlated online behaviors can lead to overestimates of the effects of advertising
    • ACM, New York
    • LEWIS, R. A., RAO, J. M. and REILEY, D. H. (2011). Here, there, and everywhere: Correlated online behaviors can lead to overestimates of the effects of advertising. In Proceedings of the 20th International Conference on World Wide Web. 11 157–166. ACM, New York.
    • (2011) Proceedings of the 20Th International Conference on World Wide Web , pp. 157-166
    • Lewis, R.A.1    Rao, J.M.2    Reiley, D.H.3
  • 43
    • 82955235655 scopus 로고    scopus 로고
    • A Bayesian foundation for individual learning under uncertainty. Front
    • MATHYS, C., DAUNIZEAU, J., FRISTON, K. J. and STEPHAN, K. E. (2011). A Bayesian foundation for individual learning under uncertainty. Front. Human Neurosci. 5 39.
    • (2011) Human Neurosci , vol.5
    • Mathys, C.1    Daunizeau, J.2    Friston, K.J.3    Stephan, K.E.4
  • 44
    • 84874576857 scopus 로고
    • Natural and quasi-experiments in economics
    • MEYER, B. D. (1995). Natural and quasi-experiments in economics. J. Bus. Econom. Statist. 13 151.
    • (1995) J. Bus. Econom. Statist , vol.13
    • Meyer, B.D.1
  • 46
    • 84885000428 scopus 로고    scopus 로고
    • Bayesian analysis of latent threshold dynamic models
    • MR3055329
    • NAKAJIMA, J. and WEST, M. (2013). Bayesian analysis of latent threshold dynamic models. J. Bus. Econom. Statist. 31 151–164. MR3055329.
    • (2013) J. Bus. Econom. Statist , vol.31 , pp. 151-164
    • Nakajima, J.1    West, M.2
  • 47
    • 79957844365 scopus 로고    scopus 로고
    • Data augmentation for support vector machines
    • MR2781803
    • POLSON, N. G. and SCOTT, S. L. (2011). Data augmentation for support vector machines. Bayesian Anal. 6 1–23. MR2781803.
    • (2011) Bayesian Anal , vol.6 , pp. 1-23
    • Polson, N.G.1    Scott, S.L.2
  • 48
    • 70350062202 scopus 로고    scopus 로고
    • Observing the counterfactual? The search for political experiments in nature
    • ROBINSON, G., MCNULTY, J. E. and KRASNO, J. S. (2009). Observing the counterfactual? The search for political experiments in nature. Polit. Anal. 17 341–357.
    • (2009) Polit. Anal , vol.17 , pp. 341-357
    • Robinson, G.1    McNulty, J.E.2    Krasno, J.S.3
  • 49
    • 58149417330 scopus 로고
    • Estimating causal effects of treatments in randomized and nonrandomized studies
    • RUBIN, D. B. (1974). Estimating causal effects of treatments in randomized and nonrandomized studies. J. Educ. Psychol. 66 688.
    • (1974) J. Educ. Psychol , vol.66
    • Rubin, D.B.1
  • 50
    • 42349099434 scopus 로고    scopus 로고
    • Statistical inference for causal effects, with emphasis on applications in epidemiology and medical statistics
    • (J. P. Miller, C. R. Rao and D. C. Rao, eds.). Handbook of Statist, Elsevier, Amsterdam, MR2500431
    • RUBIN, D. B. (2008). Statistical inference for causal effects, with emphasis on applications in epidemiology and medical statistics. In Epidemiology and Medical Statistics (J. P. Miller, C. R. Rao and D. C. Rao, eds.). Handbook of Statist. 27 28–63. Elsevier, Amsterdam. MR2500431.
    • (2008) Epidemiology and Medical Statistics , vol.27 , pp. 28-63
    • Rubin, D.B.1
  • 51
    • 33748578594 scopus 로고    scopus 로고
    • Estimating the causal effects of marketing interventions using propensity score methodology
    • MR2324079
    • RUBIN, D. B. and WATERMAN, R. P. (2006). Estimating the causal effects of marketing interventions using propensity score methodology. Statist. Sci. 21 206–222. MR2324079.
    • (2006) Statist. Sci , vol.21 , pp. 206-222
    • Rubin, D.B.1    Waterman, R.P.2
  • 52
    • 77953071298 scopus 로고    scopus 로고
    • Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
    • MR2722450
    • SCOTT, J. G. and BERGER, J. O. (2010). Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem. Ann. Statist. 38 2587–2619. MR2722450.
    • (2010) Ann. Statist , vol.38 , pp. 2587-2619
    • Scott, J.G.1    Berger, J.O.2
  • 54
    • 34250324553 scopus 로고    scopus 로고
    • Measurement of return on marketing investment: A conceptual framework and the future of marketing metrics. Ind
    • SEGGIE, S. H., CAVUSGIL, E. and PHELAN, S. E. (2007). Measurement of return on marketing investment: A conceptual framework and the future of marketing metrics. Ind. Mark. Manage. 36 834–841.
    • (2007) Mark. Manage , vol.36 , pp. 834-841
    • Seggie, S.H.1    Cavusgil, E.2    Phelan, S.E.3
  • 55
    • 84902956899 scopus 로고    scopus 로고
    • Experimental and Quasi- Experimental Designs for Generalized Causal Inference
    • Seattle, WA
    • SHADISH, W. R., COOK, T. D. and CAMPBELL, D. T. (2002). Experimental and Quasi- Experimental Designs for Generalized Causal Inference. Wadsworth Cengage Learning, Seattle, WA.
    • (2002) Wadsworth Cengage Learning
    • Shadish, W.R.1    Cook, T.D.2    Campbell, D.T.3
  • 56
    • 0343996729 scopus 로고
    • Estimating Autocorrelations in Fixed-Effects Models
    • Cambridge, MA
    • SOLON, G. (1984). Estimating Autocorrelations in Fixed-Effects Models. National Bureau of Economic Research, Cambridge, MA.
    • (1984) National Bureau of Economic Research
    • Solon, G.1
  • 57
    • 63749111311 scopus 로고    scopus 로고
    • Marketing accountability: Linking marketing actions to financial results
    • STEWART, D. W. (2009). Marketing accountability: Linking marketing actions to financial results. J. Bus. Res. 62 636–643.
    • (2009) J. Bus. Res , vol.62 , pp. 636-643
    • Stewart, D.W.1
  • 58
    • 0013110487 scopus 로고    scopus 로고
    • Multiple time series analysis of competitive marketing behavior
    • TAKADA, H. and BASS, F. M. (1998). Multiple time series analysis of competitive marketing behavior. J. Bus. Res. 43 97–107.
    • (1998) J. Bus. Res , vol.43 , pp. 97-107
    • Takada, H.1    Bass, F.M.2
  • 62
    • 0033446553 scopus 로고    scopus 로고
    • The estimation of causal effects from observational data
    • WINSHIP, C. and MORGAN, S. L. (1999). The estimation of causal effects from observational data. Annu. Rev. Sociol. 659–706.
    • (1999) Annu. Rev. Sociol , pp. 659-706
    • Winship, C.1    Morgan, S.L.2
  • 63
    • 0002817906 scopus 로고
    • On assessing prior distributions and Bayesian regression analysis with gprior distributions
    • (P. K. Goel and A. Zellner, eds.). Stud. Bayesian Econometrics Statist, North-Holland, Amsterdam, MR0881437
    • ZELLNER, A. (1986). On assessing prior distributions and Bayesian regression analysis with gprior distributions. In Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti (P. K. Goel and A. Zellner, eds.). Stud. Bayesian Econometrics Statist. 6 233–243. North-Holland, Amsterdam. MR0881437.
    • (1986) Bayesian Inference and Decision Techniques: Essays in Honor of Bruno De Finetti , vol.6 , pp. 233-243
    • Zellner, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.