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Let the data speak? : on the importance of theory-based instrumental variable estimations

Grossmann, Volker; Osikominu, Aderonke - 2019

In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …

Persistent link: https://www.econbiz.de/10011962295

On heckits, LATE, and numerical equivalence

Kline, Patrick; Walters, Christopher R. - 2018

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

Persistent link: https://www.econbiz.de/10011825221

Causal inference with endogenous price response

Jeziorski, Przemyslaw; Leng, Dingzhe; Seiler, Stephan - 2025 - This draft: May 10, 2025

We study the estimation of causal treatment effects on demand when treatment is randomly assigned but prices adjust in … response to treatment. We show that regressions of demand on treatment or on treatment and price lead to biased estimates of … the direct treatment effect. The bias in both cases depends on the correlation of price with treatment and points in the …

Persistent link: https://www.econbiz.de/10015404498

Instrumental variables and causal mechanisms : unpacking the effect of trade on workers and voters

Dippel, Christian; Gold, Robert; Heblich, Stephan; … - 2017

This paper shows that import exposure affects voting behavior because it affects local labor markets. We develop a new framework for mediation analysis where one instrumental variable is sufficient to identify three causal effects. Using German data from 1987-2009, we find that import exposure...

Persistent link: https://www.econbiz.de/10011781026

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10010361374

Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

Persistent link: https://www.econbiz.de/10011898624

From late to MTE : alternative methods for the evaluation of policy interventions

Cornelißen, Thomas; Dustmann, Christian; Raute, Anna; … - 2016

This paper provides an introduction into the estimation of Marginal Treatment Effects (MTE). Compared to the existing surveys on the subject, our paper is less technical and speaks to the applied economist with a solid basic understanding of econometric techniques who would like to use MTE...

Persistent link: https://www.econbiz.de/10011499992

When should we (not) interpret linear IV estimands as LATE?

Słoczyński, Tymon - 2021

are required for identification while the reduced-form and first-stage regressions implicitly restrict the effects of the …

Persistent link: https://www.econbiz.de/10012510217

Doubly robust estimation of local average treatment effects using inverse probability weighted regression adjustment

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2022

We revisit the problem of estimating the local average treatment effect (LATE) and the local average treatment effect on the treated (LATT) when control variables are available, either to render the instrumental variable (IV) suitably exogenous or to improve precision. Unlike previous...

Persistent link: https://www.econbiz.de/10013457343

Abadie's kappa and weighting estimators of the local average treatment effect

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2022

In this paper we study the finite sample and asymptotic properties of various weighting estimators of the local average treatment effect (LATE), several of which are based on Abadie (2003)’s kappa theorem. Our framework presumes a binary endogenous explanatory variable (“treatment”) and a...

Persistent link: https://www.econbiz.de/10013183740