Its Time

New paper Identifying Causal Effects using Instrumental Time Series: Nuisance IV and Correcting for the Past online now! In this paper, we provide a structured treatment of instrumental variable (IV) methods in time series data, by showing that valid IV models can be identified by representing the time series as a finite graph. We emphasize the need for adjusting for past states of the time series, to get valid instruments, and develop Nuisance IV, a modification of IV estimators. [PDF] [Code]