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ivcrc: An instrumental-variables estimator for the correlated random-coefficients model

Author

Listed:
  • David Benson

    (Federal Reserve Board of Governors)

  • Matthew A. Masten

    (Duke University)

  • Alexander Torgovitsky

    (University of Chicago)

Abstract

We discuss the ivcrc command, which implements an instrumental- variables (IV) estimator for the linear correlated random-coefficients model. The correlated random-coefficients model is a natural generalization of the standard lin- ear IV model that allows for endogenous, multivalued treatments and unobserved heterogeneity in treatment effects. The estimator implemented by ivcrc uses re- cent semiparametric identification results that allow for flexible functional forms and permit instruments that may be binary, discrete, or continuous. The ivcrc command also allows for the estimation of varying-coefficient regressions, which are closely related in structure to the proposed IV estimator. We illustrate the use of ivcrc by estimating the returns to education in the National Longitudinal Survey of Young Men.

Suggested Citation

  • David Benson & Matthew A. Masten & Alexander Torgovitsky, 2022. "ivcrc: An instrumental-variables estimator for the correlated random-coefficients model," Stata Journal, StataCorp LP, vol. 22(3), pages 469-495, September.
    • Handle: RePEc:tsj:stataj:y:22:y:2022:i:3:p:469-495
    DOI: 10.1177/1536867X221124449
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    Cited by:

    1. Paul Carrillo & Dave Donaldson & Dina Pomeranz & Monica Singhal, 2023. "Misallocation in Firm Production: A Nonparametric Analysis Using Procurement Lotteries," CESifo Working Paper Series 10485, CESifo.

    More about this item

    Keywords

    ivcrc; ivregress; instrumental variables; correlated random co- efficients; heterogeneous treatment effects; varying-coefficient models; returns to schooling;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • I26 - Health, Education, and Welfare - - Education - - - Returns to Education

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