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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
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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
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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
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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
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Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
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
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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
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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
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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
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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
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How to use one instrument to identify two elasticities
Gavrilova, Evelina; Zoutman, Floris T.; Hopland, Arnt-Ove - 2017
We show that an insight from taxation theory allows identification of both the supply and demand elasticities with only … one instrument. Ramsey (1928) and subsequent models of taxation assume that a tax levied on the demand side only affects … demand through the price after taxation. Econometrically, we show that this assumption functions as an additional exclusion …
Persistent link: https://www.econbiz.de/10011615957