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Chernozhukov, Victor; Hansen, Christian Bailey - 2013

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

Persistent link: https://www.econbiz.de/10009747939

Inference on treatment effects after selection amongst high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2013 - This version May 30, 2013

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

Persistent link: https://www.econbiz.de/10009747934

hdm : high-dimensional metrics

Chernozhukov, Victor; Hansen, Christian Bailey; … - 2016

. Efficient estimators and uniformly valid confidence intervals for regression coefficients on target variables (e.g., treatment … or policy variable) in a high-dimensional approximately sparse regression model, for average treatment effect (ATE) and … heteroscedastic and non-Gaussian errors are implemented. Moreover, joint/ simultaneous confidence intervals for regression …

Persistent link: https://www.econbiz.de/10011524715

The identification region of the potential outcome distributions under instrument independence

Kitagawa, Toru - 2020

This paper examines the identifying power of instrument exogeneity in the treatment effect model. We derive the identification region of the potential outcome distributions, which are the collection of distributions that are compatible with data and with the restrictions of the model. We...

Persistent link: https://www.econbiz.de/10012219613

Constrained conditional moment restriction models

Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2015

This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...

Persistent link: https://www.econbiz.de/10011337665

Constrained conditional moment restriction models

Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2022 - This Draft: April 2022

statistics and proposed inference methods are based on the minimum of the generalized method of moments (GMM) objective function … have good power relative to unrestricted GMM. …

Persistent link: https://www.econbiz.de/10013332218

Direct and indirect treatment effects : causal chains and mediation analysis with instrumental variables

Frölich, Markus; Huber, Martin - 2014

This paper discusses the nonparametric identi.cation of causal direct and indirect effects of a binary treatment based on instrumental variables. We identify the indirect effect, which operates through a mediator (i.e. intermediate variable) that is situated on the causal path between the...

Persistent link: https://www.econbiz.de/10010382130

A test for instrument validity

Kitagawa, Toru - 2014 - This draft: August, 2014

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Persistent link: https://www.econbiz.de/10010392075

Outcome conditioned treatment effects

Hoderlein, Stefan; Sasaki, Yuya - 2013

This paper introduces average treatment effects conditional on the outcomes variable in an endogenous setup where outcome Y, treatment X and instrument Z are continuous. These objects allow to refine well studied treatment effects like ATE and ATT in the case of continuous treatment (see Florens...

Persistent link: https://www.econbiz.de/10009783118

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

Persistent link: https://www.econbiz.de/10010200037