Nonparametric Instrumental Variable Estimation in Practice
نویسندگان
چکیده
منابع مشابه
Applied Nonparametric Instrumental Variables Estimation
Instrumental variables are widely used in applied econometrics to achieve identification and carry out estimation and inference in models that contain endogenous explanatory variables. In most applications, the function of interest (e.g., an Engel curve or demand function) is assumed to be known up to finitely many parameters (e.g., a linear model), and instrumental variables are used identify ...
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In nonparametric instrumental variables estimation, the function being estimated is the solution to an integral equation. A solution may not exist if, for example, the instrument is not valid. This paper discusses the problem of testing the null hypothesis that a solution exists against the alternative that there is no solution. We give necessary and sufficient conditions for existence of a sol...
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So on average, a woman with more than two kids works 6 weeks fewer than her counterpart with fewer than 2 kids. The result changes a little after we include age as the regressor. The question is, does this correlation imply causality? So the key regressor is morekids. The main concern is that morekids may be endogenous, i.e., correlated with the error term, due to simultaneity or omitted variab...
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Bias due to unobserved confounding can seldom be ruled out with certainty when estimating the causal effect of a nonrandomized treatment. The instrumental variable (IV) design offers, under certain assumptions, the opportunity to tame confounding bias, without directly observing all confounders. The IV approach is very well developed in the context of linear regression and also for certain gene...
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This paper proposes shrinkage methods for instrumental variable estimation to solve the “many instruments” problem. Even though using a large number of instruments reduces the asymptotic variances of the estimators, it has been observed both in theoretical works and in practice that in finite samples the estimators may behave very poorly if the number of instruments is large. This problem can b...
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ژورنال
عنوان ژورنال: Journal of Econometric Methods
سال: 2016
ISSN: 2156-6674,2194-6345
DOI: 10.1515/jem-2013-0002