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汉青贝博体育app网址第328期:6月2日孙振庭助理教授
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汉青贝博体育app网址第328期:62孙振庭助理教授

本期主题: Instrument Validity for Heterogeneous Causal Effects


摘要:

This paper provides a general framework for testing instrument validity in heterogeneous causal effect models. We first generalize the testable implications of the instrument validity assumption provided by Balke and Pearl (1997), Imbens and Rubin (1997), and Heckman and Vytlacil (2005). The generalization involves the cases where the treatment can be multivalued (and ordered) or unordered, and there can be conditioning covariates. Based on these testable implications, we propose a nonparametric test which is proved to be asymptotically size controlled and consistent. Because of the nonstandard nature of the problem in question, the test statistic is constructed based on a nonsmooth map, which causes technical complications. We provide an extended continuous mapping theorem and an extended delta method, which may be of independent interest, to establish the asymptotic distribution of the test statistic under null. We then extend the bootstrap method proposed by Fang and Santos (2018) to approximate this asymptotic distribution and construct a critical value for the test. Compared to the test proposed by Kitagawa (2015), our test can be applied in more general settings and may achieve power improvement. Evidence that the test performs well on finite samples is provided via simulations. We revisit the empirical study of Card (1993) and use their data to demonstrate application of the proposed test in practice. We show that a valid instrument for a multivalued treatment may not remain valid if the treatment is coarsened.


报告人:孙振庭助理教授, 北京大学国家发展研究院

时间:62日(周三 12:15

地点:明德主楼515交流


报告人简介:

孙振庭,北京大学国家发展研究院助理教授,加州大学圣地亚哥分校获得经济学博士。他的研究方向为理论计量经济学和应用计量经济学。目前他的研究兴趣具体包括微观计量经济学,非参和半参计量模型,以及高维大数据模型。孙振庭博士开设的课程有《微积分概论》,《统计学在社会科学研究中的应用》,以及《计量经济学》。