2021년 4월 27일 세미나 공지 (4월 27일, 오후 4시)
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- 21-04-20
제목: Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments
시간: 4월 27일 (화요일) 오후 4시
장소: Zoom 미팅
암호: 126278
회의 ID: 898 6083 5899
줌링크: https://yonsei.zoom.us/j/89860835899?pwd=SDhiSHRNNFhqa3JJVk5BeU9YRWVUUT09
논문: https://drive.google.com/open?id=1qfcnVhH1R2ZRT6FunrA40u0XOvbi3tld
세미나 홈페이지: https://sites.google.com/d/1JtvT65FniXxOOi_XXN7_TGhuSMcTwE4g/p/1DdaOa63Axh2CrYceyY27ZlH1N-nkzEZk/edit
많은 분들께서 세미나에 참가하셔서 새로운 지식을 공유할 수 있는 기회가 되길 바라겠습니다.
참고로 정기 3차 세미나는 5월 10일에 예정되어 있고, 5월 3일에 공지할 예정입니다.
그리고 새로운 논문을 발표하실 의향이 있으시면 언제든지 알려주십시오.
최대한 많은 분들께서 학회의 순기능을 활용토록 노력하겠습니다.
감사합니다.
Abstract
Instrumental variables (IV) regression is a popular method for the estimation of the endogenous treatment e ects. Conventional IV methods require all the instruments are relevant and valid. However, this is impractical especially in high-dimensional models when we consider a large set of candidate IVs. In this paper, we propose an IV estimator robust to the existence of both the invalid and irrelevant instruments (called R2IVE) for the estimation of endogenous treatment effects. This paper extends the scope of sisVIVE (Kang et al., 2016) by considering a true high-dimensional IV model and a nonparametric reduced form equation. It is shown that our procedure can select the relevant and valid instruments consistently and the proposed R2IVE is root-n consistent and asymptotically normal. Monte Carlo simulations demonstrate that the R2IVE performs favorably compared to the existing high-dimensional IV estimators (such as, NAIVE (Fan and Zhong, 2018) and sisVIVE (Kang et al., 2016)) when invalid instruments exist. In the empirical study, we revisit the classic question of trade and growth (Frankel and Romer, 1999).