474
Views
0
CrossRef citations to date
0
Altmetric
Articles

Efficient and Robust Estimation of the Generalized LATE Model

ORCID Icon

References

  • Abadie, A. (2003), “Semiparametric Instrumental Variable Estimation of Treatment Response Models,” Journal of Econometrics, 113, 231–263. DOI: 10.1016/S0304-4076(02)00201-4.
  • Ackerberg, D., Chen, X., Hahn, J., and Liao, Z. (2014), “Asymptotic Efficiency of Semiparametric Two-Step GMM,” Review of Economic Studies, 81, 919–943. DOI: 10.1093/restud/rdu011.
  • Aliprantis, D., and Richter, F. G.-C. (2020), “Evidence of Neighborhood Effects from Moving to Opportunity: Lates of Neighborhood Quality,” The Review of Economics and Statistics, 102, 633–647. DOI: 10.1162/rest_a_00933.
  • Andrews, D. W., Cheng, X., and Guggenberger, P. (2020), “Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests,” Journal of Econometrics, 218, 496–531. DOI: 10.1016/j.jeconom.2020.04.027.
  • Andrews, I., and Armstrong, T. B. (2017), “Unbiased Instrumental Variables Estimation Under Known First-Stage Sign,” Quantitative Economics, 8, 479–503. DOI: 10.3982/QE700.
  • Angrist, J. D., Graddy, K., and Imbens, G. W. (2000), “The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish,” The Review of Economic Studies, 67, 499–527. DOI: 10.1111/1467-937X.00141.
  • Angrist, J. D., and Imbens, G. W. (1995), “Two-Stage Least Squares Estimation of Average Causal Effects in Models with Variable Treatment Intensity,” Journal of the American statistical Association, 90, 431–442. DOI: 10.1080/01621459.1995.10476535.
  • Angrist, J. D., Imbens, G. W., and Rubin, D. B. (1996), “Identification of Causal Effects Using Instrumental Variables,” Journal of the American Statistical Association, 91, 444–455. DOI: 10.1080/01621459.1996.10476902.
  • Ao, W., Calonico, S., and Lee, Y.-Y. (2021), “Multivalued Treatments and Decomposition Analysis: An Application to the WIA Program,” Journal of Business & Economic Statistics, 39, 358–371. DOI: 10.1080/07350015.2019.1660664.
  • Bickel, P. J., Klaassen, C. A., Ritov, Y., and Wellner, J. A. (1993), Efficient and Adaptive Estimation for Semiparametric Models (Vol. 4), New York: Springer.
  • Cattaneo, M. D. (2010), “Efficient Semiparametric Estimation of Multi-Valued Treatment Effects Under Ignorability,” Journal of Econometrics, 155, 138–154. DOI: 10.1016/j.jeconom.2009.09.023.
  • Chen, X., and Christensen, T. M. (2015), “Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions,” Journal of Econometrics, 188, 447–465. Heterogeneity in Panel Data and in Nonparametric Analysis in honor of Professor Cheng Hsiao. DOI: 10.1016/j.jeconom.2015.03.010.
  • Chen, X., Hong, H., and Tarozzi, A. (2008), “Semiparametric Efficiency in GMM Models with Auxiliary Data,” The Annals of Statistics, 36, 808–843. DOI: 10.1214/009053607000000947.
  • Chen, X., Linton, O., and Van Keilegom, I. (2003), “Estimation of Semiparametric Models When the Criterion Function is not Smooth,” Econometrica, 71, 1591–1608. DOI: 10.1111/1468-0262.00461.
  • Chen, X., and Santos, A. (2018), “Overidentification in Regular Models,” Econometrica, 86, 1771–1817. DOI: 10.3982/ECTA13559.
  • Chen, Y.-C., and Xie, H. (2022), “Global Representation of the Conditional Late Model: A Separability Result,” Oxford Bulletin of Economics and Statistics, 84, 789–798. DOI: 10.1111/obes.12476.
  • Chernozhukov, V., Chetverikov, D., Demirer, M., Duflo, E., Hansen, C., Newey, W., and Robins, J. (2018), “Double/Debiased Machine Learning for Treatment and Structural Parameters,” The Econometrics Journal, 21, C1–C68. DOI: 10.1111/ectj.12097.
  • Chernozhukov, V., Escanciano, J. C., Ichimura, H., Newey, W. K., and Robins, J. M. (2022), “Locally Robust Semiparametric Estimation,” Econometrica, 90, 1501–1535. DOI: 10.3982/ECTA16294.
  • Farrell, M. H. (2015), “Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations,” Journal of Econometrics, 189, 1–23. DOI: 10.1016/j.jeconom.2015.06.017.
  • Finkelstein, A. (2013), “Oregon Health Insurance Experiment Public Use Data,” available at http://www.nber.org/oregon/data.html.
  • Finkelstein, A., Taubman, S., Wright, B., Bernstein, M., Gruber, J., Newhouse, J. P., Allen, H., Baicker, K., and Group, O. H. S. (2012), “The Oregon Health Insurance Experiment: Evidence from the First Year,” The Quarterly Journal of Economics, 127, 1057–1106. DOI: 10.1093/qje/qjs020.
  • Flores, C. A., Flores-Lagunes, A., Gonzalez, A., and Neumann, T. C. (2012), “Estimating the Effects of Length of Exposure to Instruction in a Training Program: The Case of Job Corps,” The Review of Economics and Statistics, 94, 153–171. DOI: 10.1162/REST_a_00177.
  • Friedman, J., Tibshirani, R., and Hastie, T. (2010), “Regularization Paths for Generalized Linear Models via Coordinate Descent,” Journal of Statistical Software, 33, 1–22.
  • Frölich, M. (2007), “Nonparametric iv Estimation of Local Average Treatment Effects with Covariates,” Journal of Econometrics, 139, 35–75. DOI: 10.1016/j.jeconom.2006.06.004.
  • Galindo, C. (2021), “Essays on Treatment Effects from Multiple Unordered Choices,” Ph. D. thesis, University of Maryland, College Park.
  • Goff, L. (2020), “A Vector Monotonicity Assumption for Multiple Instruments,” arXiv preprint arXiv:2009.00553.
  • Hahn, J. (1998), “On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects,” Econometrica, 66, 315–331. DOI: 10.2307/2998560.
  • Hansen, B. E. (2008), “Uniform Convergence Rates for Kernel Estimation with Dependent Data,” Econometric Theory, 24, 726–748. DOI: 10.1017/S0266466608080304.
  • Heckman, J. J., Ichimura, H., and Todd, P. (1998), “Matching as an Econometric Evaluation Estimator,” The Review of Economic Studies, 65, 261–294. DOI: 10.1111/1467-937X.00044.
  • Heckman, J. J., and Pinto, R. (2018), “Unordered Monotonicity,” Econometrica, 86, 1–35. DOI: 10.3982/ECTA13777.
  • Heckman, J. J., and Vytlacil, E. (2005), “Structural Equations, Treatment Effects, and Econometric Policy Evaluation,” Econometrica, 73, 669–738. DOI: 10.1111/j.1468-0262.2005.00594.x.
  • Hirano, K., Imbens, G. W., and Ridder, G. (2003), “Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score,” Econometrica, 71, 1161–1189. DOI: 10.1111/1468-0262.00442.
  • Hong, H., and Nekipelov, D. (2010), “Semiparametric Efficiency in Nonlinear Late Models,” Quantitative Economics, 1, 279–304. DOI: 10.3982/QE43.
  • Huber, M., Hsu, Y.-C., Lee, Y.-Y., and Lettry, L. (2020), “Direct and Indirect Effects of Continuous Treatments based on Generalized Propensity Score Weighting,” Journal of Applied Econometrics, 35, 814–840. DOI: 10.1002/jae.2765.
  • Ichimura, H., and Newey, W. K. (2022), “The Influence Function of Semiparametric Estimators,” Quantitative Economics, 13, 29–61. DOI: 10.3982/QE826.
  • Imbens, G. W., and Angrist, J. D. (1994), “Identification and Estimation of Local Average Treatment Effects,” Econometrica, 62, 467–475. DOI: 10.2307/2951620.
  • Imbens, G. W., and Manski, C. F. (2004), “Confidence Intervals for Partially Identified Parameters,” Econometrica, 72, 1845–1857. DOI: 10.1111/j.1468-0262.2004.00555.x.
  • Kitagawa, T. (2015), “A Test for Instrument Validity,” Econometrica, 83, 2043–2063. DOI: 10.3982/ECTA11974.
  • Kline, P., and Walters, C. R. (2016), “Evaluating Public Programs with Close Substitutes: The Case of Head Start,” The Quarterly Journal of Economics, 131, 1795–1848. DOI: 10.1093/qje/qjw027.
  • Lee, S., and Salanié, B. (2018), “Identifying Effects of Multivalued Treatments,” Econometrica, 86, 1939–1963. DOI: 10.3982/ECTA14269.
  • Lee, Y.-Y. (2018), “Efficient Propensity Score Regression Estimators of Multivalued Treatment Effects for the Treated,” Journal of Econometrics, 204, 207–222. DOI: 10.1016/j.jeconom.2018.02.002.
  • Masry, E. (1996), “Multivariate Local Polynomial Regression for Time Series: Uniform Strong Consistency and Rates,” Journal of Time Series Analysis, 17, 571–599. DOI: 10.1111/j.1467-9892.1996.tb00294.x.
  • Mikusheva, A. (2007), “Uniform Inference in Autoregressive Models,” Econometrica, 75, 1411–1452. DOI: 10.1111/j.1468-0262.2007.00798.x.
  • Mogstad, M., Torgovitsky, A., and Walters, C. R. (2021), “The Causal Interpretation of Two-Stage Least Squares with Multiple Instrumental Variables,” American Economic Review, 111, 3663–98. DOI: 10.1257/aer.20190221.
  • Mogstad, M., Torgovitsky, A., and Walters, C. R. (2023), “Policy Evaluation with Multiple Instrumental Variables,” Journal of Econometrics, forthcoming.
  • Mountjoy, J. (2022), “Community Colleges and Upward Mobility,” American Economic Review, 112, 2580–2630. DOI: 10.1257/aer.20181756.
  • Navjeevan, M., Pinto, R., and Santos, A. (2023), “Identification and Estimation in a Class of Potential Outcomes Models,” arXiv preprint arXiv:2310.05311.
  • Newey, W. K. (1990), “Semiparametric Efficiency Bounds,” Journal of Applied Econometrics, 5, 99–135. DOI: 10.1002/jae.3950050202.
  • ——- (1994), “The Asymptotic Variance of Semiparametric Estimators,” Econometrica, 62, 1349–1382.
  • Newey, W. K., and Stouli, S. (2021), “Heterogeneous Coefficients, Control Variables and Identification of Multiple Treatment Effects,” Biometrika, 109, 865–872. DOI: 10.1093/biomet/asab060.
  • Okui, R., Small, D. S., Tan, Z., and Robins, J. M. (2012), “Doubly Robust Instrumental Variable Regression,” Statistica Sinica, 22, 173–205. DOI: 10.5705/ss.2009.265.
  • Pinto, R. (2021), “Beyond Intention to Treat: Using the Incentives in Moving to Opportunity to Identify Neighborhood Effects,” UCLA working paper.
  • Simon, N., Friedman, J., Tibshirani, R., and Hastie, T. (2011), “Regularization Paths for Cox’s Proportional Hazards Model via Coordinate Descent,” Journal of Statistical Software, 39, 1–13. DOI: 10.18637/jss.v039.i05.
  • Singh, R., and Sun, L. (2022), “Double Robustness for Complier Parameters and A Semiparametric Test for Complier Characteristics,” arXiv preprint arXiv:1909.05244.
  • Słoczyński, T., and Wooldridge, J. M. (2018), “A General Double Robustness Result for Estimating Average Treatment Effects,” Econometric Theory, 34, 112–133. DOI: 10.1017/S0266466617000056.
  • Stone, C. J. (1982), “Optimal Global Rates of Convergence for Nonparametric Regression,” The Annals of Statistics, 10, 1040–1053. DOI: 10.1214/aos/1176345969.
  • Sun, Z. (2023), “Instrument Validity for Heterogeneous Causal Effects,” Journal of Econometrics accepted. DOI: 10.1016/j.jeconom.2023.105523.
  • Tan, Z. (2006), “Regression and Weighting Methods for Causal Inference Using Instrumental Variables,” Journal of the American Statistical Association, 101, 1607–1618. DOI: 10.1198/016214505000001366.
  • Tay, J. K., Narasimhan, B., and Hastie, T. (2023), “Elastic Net Regularization Paths for All Generalized Linear Models,” Journal of Statistical Software, 106, 1–31. DOI: 10.18637/jss.v106.i01.
  • Uysal, S. D. (2015), “Doubly Robust Estimation of Causal Effects with Multivalued Treatments: An Application to the Returns to Schooling,” Journal of Applied Econometrics, 30, 763–786. DOI: 10.1002/jae.2386.
  • van der Vaart, A. W. (1998). Asymptotic Statistics (Vol. 3), Cambridge: Cambridge University Press.
  • Vazquez-Bare, G. (2022), “Causal Spillover Effects Using Instrumental Variables,” Journal of the American Statistical Association, 118, 1911–1922. DOI: 10.1080/01621459.2021.2021920.
  • Vytlacil, E. (2002), “Independence, Monotonicity, and Latent Index Models: An Equivalence Result,” Econometrica, 70, 331–341. DOI: 10.1111/1468-0262.00277.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.