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存在第一阶段异质性的工具变量估计AI 解读

We propose a simple data-driven procedure that exploits heterogeneity in the first-stage correlation between an instrument and an endogenous variable to improve the asymptotic mean squared error (MSE) of instrumental variable estimators. We show that the resulting gains in asymptotic MSE can be quite large in settings where there is substantial heterogeneity in the first-stage parameters. We also show that a naive procedure used in some applied work, which consists of…

匹配后的稳健统计推断AI 解读

Nearest-neighbor matching is a popular nonparametric tool to create balance between treatment and control groups in observational studies. As a preprocessing step before regression, matching reduces the dependence on parametric modeling assumptions. In current empirical practice, however, the matching step is often ignored in the calculation of standard errors and confidence intervals. In this article, we show that ignoring the matching step results in asymptotically valid…

合成控制方法专题导言AI 解读

In June of 2010, JASA published the article “Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California’s Tobacco Control Program” (Abadie, Diamond, and Hainmueller...

面向细分数据的惩罚合成控制估计量AI 解读

Synthetic control methods are commonly applied in empirical research to estimate the effects of treatments or interventions on aggregate outcomes. A synthetic control estimator compares the outcome of a treated unit to the outcome of a weighted average of untreated units that best resembles the characteristics of the treated unit before the intervention. When disaggregated data are available, constructing separate synthetic controls for each treated unit may help avoid…

回归分析中基于抽样与基于设计的不确定性AI 解读

Consider a researcher estimating the parameters of a regression function based on data for all 50 states in the United States or on data for all visits to a website. What is the interpretation of the estimated parameters and the standard errors? In practice, researchers typically assume that the sample is randomly drawn from a large population of interest and report standard errors that are designed to capture sampling variation. This is common even in applications where it…

基于估计倾向得分的匹配AI 解读

Propensity score matching estimators (Rosenbaum and Rubin, 1983) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity score is itself estimated in a first step, prior to matching. We prove that first step estimation of the propensity score affects the large sample distribution of propensity score…

固定回归变量下误设模型的统计推断AI 解读

Following the work by Eicker, Huber, and White it is common in empirical work to report standard errors that are robust against general misspecification. In a regression setting, these standard errors are valid for the parameter that minimizes the squared difference between the conditional expectation and a linear approximation, averaged over the population distribution of the covariates. Here, we discuss an alternative parameter that corresponds to the approximation to the…

匹配估计量的鞅表示AI 解读

Matching estimators are widely used in statistical data analysis. However, the large sample distribution of matching estimators has been derived only for particular cases. This article establishes a martingale representation for matching estimators. This representation allows the use of martingale limit theorems to derive the large sample distribution of matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a…

平均处理效应的偏差校正匹配估计量AI 解读

In Abadie and Imbens (2006), it was shown that simple nearest-neighbor matching estimators include a conditional bias term that converges to zero at a rate that may be slower than N1/2. As a result, matching estimators are not N1/2-consistent in general. In this article, we propose a bias correction that renders matching estimators N1/2-consistent and asymptotically normal. To demonstrate the methods proposed in this article, we apply them to the National Supported Work…

比较案例研究的合成控制方法：估计加州控烟计划的效果AI 解读

Building on an idea in Abadie and Gardeazabal (2003), this article investigates the application of synthetic control methods to comparative case studies. We discuss the advantages of these methods and apply them to study the effects of Proposition 99, a large-scale tobacco control program that California implemented in 1988. We demonstrate that, following Proposition 99, tobacco consumption fell markedly in California relative to a comparable synthetic control region. We…

平均处理效应匹配估计量的大样本性质AI 解读

Matching estimators for average treatment effects are widely used in evaluation research despite the fact that their large sample properties have not been established in many cases. The absence of formal results in this area may be partly due to the fact that standard asymptotic expansions do not apply to matching estimators with a fixed number of matches because such estimators are highly nonsmooth functionals of the data. In this article we develop new methods for…

摘要暂缺

工具变量模型中分布处理效应的自助法检验AI 解读

This article considers the problem of assessing the distributional consequences of a treatment on some outcome variable of interest when treatment intake is (possibly) nonrandomized, but there is a binaryinstrument available for the researcher. Such a scenario is common in observational studies and in randomized experiments with imperfect compliance. One possible approach to this problem is to compare the counterfactual cumulative distribution functions of the outcome with…

补贴培训对受训者收入分位数影响的工具变量估计AI 解读

The effect of government programs on the distribution of participants' earnings is important for program evaluation and welfare comparisons.This paper reports es- timates of the effects of JTPA training programs on the distribution of earnings.The estimation uses a new instrumental variable (IV) method that measures program impacts on the quantiles of outcome variables.This quantile treatment effects (QTE) estimator accommodates exogenous covariates and reduces to quantile…