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arXiv · 2609.27531

Semiparametric Inference for Dynamic Causal Effects from Observational Time Series

Shibo Yu·Yan Chen·Jin-Hong Du·Guodong Li
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Abstract

In observational time series, statistical inference for dynamic causal effects of a one-time intervention across horizons is complicated by high-dimensional observed pre-treatment information, unmeasured confounding, and serial dependence. To address these challenges, we develop a semiparametric framework for inference from a single serially dependent time series, integrating debiased machine learning with instrumental variables through buffered block cross-fitting. Under geometric beta-mixing, we derive non-asymptotic bounds on estimation error, asymptotic normality at each fixed horizon, and feasible inference that accommodates serial dependence. We further show how learner-specific prediction guarantees under temporal dependence can be used to verify the nuisance-rate conditions required for orthogonal inference. In a monetary-policy application with 468 months and 1464 lagged FRED-MD controls, we show an instrumented policy tightening lowers housing starts at medium horizons, with sensitivity analyses that support the finding.

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Shibo Yu, Yan Chen, Jin-Hong Du, Guodong Li. 2026-09-23. Semiparametric Inference for Dynamic Causal Effects from Observational Time Series. https://arxiv.org/abs/2609.27531

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