Stochastic Potential Choices and Outcomes
随机潜在选择与潜在结果AI 解读 ↓
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随机潜在选择与潜在结果AI 解读 ↓
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Applied econometricians typically model each individual as having fixed outcomes under treatment and control and, in instrumental-variables (IV) settings, fixed treatment decisions under each value of the instrument. This paper asks what changes when outcomes and treatment allocations or choices are stochastic at the individual level. In the model, each individual has a stable (but possibly stochastic) response type consisting of two objects: a treatment choice probability under each state and a potential outcome distribution under each treatment-state pair. These stochastic potential outcomes change the interpretation of some familiar estimators. For instance, in the deterministic IV model, the estimand identifies treatment effect only for compliers-those whose treatment status switches with the instrument. Under stochastic treatment allocation or choice there is no such discrete subgroup: the estimand averages effects over the population, weighing each individual by how much the instrument, policy, or assignment rule moves their probability of treatment. The paper then gives an information-based foundation for stochastic choice, in which individuals act on expected gains given their information. Finally, repeated choices give the stable-kernel formulation empirical content: short panels identify moments of individual treatment probabilities, while long panels identify the joint dependence between treatment effects and the probability movements induced by an instrument or policy.
短面板固定效应 Logit 模型中平均因果效应的识别与估计
This paper studies identification and estimation of average causal effects, such as average marginal or treatment effects, in fixed effects logit models with short panels. Relating the identified set of these effects to an extremal moment problem, we first show how to obtain sharp bounds on such effects simply, without any optimization. We also consider even simpler outer bounds, which, contrary to the sharp bounds, do not require any first-step nonparametric estimators. We…
存在样本选择与自选择的二元响应面板数据模型
Summary We consider estimating binary response models on an unbalanced panel, where the outcome of the dependent variable may be missing due to nonrandom selection, or there is self‐selection into a treatment. In the present paper, we first consider estimation of sample selection models and treatment effects using a fully parametric approach, where the error distribution is assumed to be normal in both primary and selection equations. Arbitrary time dependence in errors is…
Summary I derive simple, flexible strategies for difference-in-differences settings where the nature of the response variable may warrant a nonlinear model. I allow for general staggered interventions, with and without covariates. Under an index version of parallel trends, I show that average treatment effects on the treated (ATTs) are identified for each cohort and calendar time period in which a cohort was subjected to the intervention. The pooled quasi-maximum likelihood…
最小化对模型误设的敏感性
We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model, based on one‐step adjustments. In addition, we provide confidence intervals that contain the true parameter under local misspecification. As a tool to interpret the degree of…
含交互固定效应的高维离散选择模型及其因果推断应用
ABSTRACT We propose a two‐step procedure to estimate a high dimensional discrete choice panel with interactive fixed effects where the initial and final estimators are obtained via a nuclear‐norm regularized (NNR) maximum likelihood estimation and post‐NNR iterated estimation, respectively. We apply the method to make counterfactual predictions of choice probabilities. Simulations demonstrate nice finite sample performance in estimation and tests. An illustrative application…
Abstract In nonlinear panel data models, fixed-effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. In contrast with that criticism, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or the last choice's duration, in a panel dynamic logit model for T as small as three. Our proofs are constructive and provide simple closed-form expressions for…