摘要翻译:
在治疗效果异质性下,仪器识别仪器特定的局部平均治疗效果(LATE)。两阶段最小二乘(2SLS)估计是多种工具的加权平均。文献中常被忽略的是,在2SLS估计中估计的假定矩条件是不成立的,除非这些条件是相同的。如果是这样,传统的异方差稳健方差估计将是不一致的,基于这种估计的2SLS标准误差将是不正确的。利用Hall和Inoue(2003,Journal of Econometrics)关于不指定矩条件模型的结果,导出了正确的渐近分布,并提出了一致的渐近方差估计。这可用于正确计算标准误差,而不管是否有一个以上的迟到。
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英文标题:
《A Consistent Variance Estimator for 2SLS When Instruments Identify
Different LATEs》
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作者:
Seojeong Lee
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最新提交年份:
2018
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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英文摘要:
Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). With multiple instruments, two-stage least squares (2SLS) estimand is a weighted average of different LATEs. What is often overlooked in the literature is that the postulated moment condition evaluated at the 2SLS estimand does not hold unless those LATEs are the same. If so, the conventional heteroskedasticity-robust variance estimator would be inconsistent, and 2SLS standard errors based on such estimators would be incorrect. I derive the correct asymptotic distribution, and propose a consistent asymptotic variance estimator by using the result of Hall and Inoue (2003, Journal of Econometrics) on misspecified moment condition models. This can be used to correctly calculate the standard errors regardless of whether there is more than one LATE or not.
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PDF链接:
https://arxiv.org/pdf/1806.01457