Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimating the causal effect of an intervention in a time series
  setting: the C-ARIMA approach   The Rubin Causal Model (RCM) is a framework that allows to define the causal
effect of an intervention as a contrast of potential outcomes. In recent years,
several methods have been developed under the RCM to estimate causal effects in
time series settings. None of these makes use of ARIMA models, which are
instead very common in the econometrics literature. In this paper, we propose a
novel approach, C-ARIMA, to define and estimate the causal effect of an
intervention in a time series setting under the RCM. We first formalize the
assumptions enabling the definition, the estimation and the attribution of the
effect to the intervention; we then check the validity of the proposed method
with an extensive simulation study, comparing its performance against a
standard intervention analysis approach. In the empirical application, we use
C-ARIMA to assess the causal effect of a permanent price reduction on
supermarket sales. The CausalArima R package provides an implementation of our
proposed approach.

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The categories of this paper are: hep-ph
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
7
The categories of this paper are: hep-th
12
The categories of this paper are: nucl-th
20
The categories of this paper are: acc-phys
9
The categories of this paper are: nlin
29
The categories of this paper are: funct-an
11
The categories of this paper are: hep-lat
4
The categories of this paper are: cond-mat
32
The categories of this paper are: atom-ph
33
The categories of this paper are: plasm-ph
6
The categories of this paper are: astro-ph
2
The categories of this paper are: math
30
The categories of this paper are: q-alg