Inference on the TSLS Estimand with Weak Instruments and Treatment Effect Heterogeneity
弱工具变量与处理效应异质性下对两阶段最小二乘目标量的推断AI 解读 ↓
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弱工具变量与处理效应异质性下对两阶段最小二乘目标量的推断AI 解读 ↓
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Traditional inference on the coefficient in an instrumental variables regression does not retain size when the instrument set is weak. With constant treatment effects or one instrument, the Anderson and Rubin (1949) AR test, the Klieibergen (2002)-Moreira (2003) LM test, and the Moreira CLR test provide robust alternatives which retain validity. Under treatment effect heterogeneity, no valid inference procedure exists in the overidentified setting. This paper develops the TSLS likelihood ratio (TLR) statistic, for performing inference on the TSLS estimand. When combined with a two-step procedure in the spirit of Berger and Boos (1994), it retains uniform validity across both the weak- and strong-instrument regimes. The procedure retains power with small choices of first-step level, hence the test can be constructed to numerically coincide with the Wald test in the strong-instrument limit.
Two frequent approaches for identifying structural VARs are external instruments, which carry economic content but are often weak, and non-Gaussianity of the shocks, which provides statistical identification but carries no economic meaning. We combine the two strategies in a single generalized method of moments framework. This hybrid approach point-identifies the target shocks while also identifying the non-target shocks up to sign and ordering. Under suitable rank…
机器学习工具变量下的识别与推断
Instrumental-variables estimation increasingly pools many or high-dimensional instruments into a single machine-learned first stage, with rich controls partialled out. The resulting estimand, the partialled-out IV coefficient built from any signal of the instruments, is a signal-weighted average of the heterogeneous effects, which gives an opaque first stage a precise structural meaning. The average is convex whenever a covariance-monotonicity condition holds, and we provide…
时间序列中的动态局部平均处理效应
This paper discusses identification, estimation, and inference on dynamic local average treatment effects (LATEs) in instrumental variables (IVs) settings. First, we show that compliers--observations whose treatment status is affected by the instrument--can be identified individually in time series data using smoothness assumptions and local comparisons of treatment assignments. Second, we show that this result enables not only better interpretability of IV estimates but…
弱工具变量下的多变量孟德尔随机化:贝叶斯与频率学派方法比较
Weak instruments are a well known limitation for valid causal inference in Mendelian randomization studies. In the single exposure setting, weak instrument bias can be mitigated by selecting genetic instruments which are strongly associated with the exposure according to p-value and/or F-statistic thresholds. However, in the multi-exposure setting, genetic instruments may be strongly associated with an exposure but weakly associated with it conditional on all other exposures…
两样本工具变量:有效两步估计、过度识别与弱工具检验
Two-sample IV is a popular estimation method when the outcome and treatment variables are available in different samples, whereas instruments are available in both samples. The standard estimator is two-sample two-stage least squares estimator, which is efficient under homoskedasticity and homogeneity of the samples. We develop a robust two-step procedure for efficient estimation under general heteroskedasticity and heterogeneity of the samples, and propose a related…
工具变量回归中弱工具稳健的子向量推断:拉格朗日乘子检验与 Anderson–Rubin 置信集
We propose a weak-instrument-robust subvector Lagrange multiplier test for instrumental variables regression. We show that it is asymptotically size-correct under a technical condition. This is the first weak-instrument-robust subvector test for instrumental variables regression to recover the degrees of freedom of the commonly used non-weak-instrument-robust Wald test. Additionally, we provide a closed-form solution for subvector confidence sets obtained by inverting the…