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Instrumental variables, local instrumental variables and control functions

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Author Info

  • Jean-Pierre Florens
  • James Heckman

    (Institute for Fiscal Studies and University of Chicago)

  • Costas Meghir

    () (Institute for Fiscal Studies and University College London)

  • Edward Vytlacil

Abstract

We consider the identification of the average treatment effect in models with continuous endogenous variables whose impact is heterogeneous. We derive a testable restriction that allows us to assess the degree of unobserved heterogeneity. Our analysis uses assumptions relating to the Local Instrumental Variables (LIV) approach and the control function approach.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0215.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP15/02.

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Length: 40 pp.
Date of creation: Jul 2002
Date of revision:
Handle: RePEc:ifs:cemmap:15/02

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References

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  1. Richard Blundell & James Powell, 2001. "Endogeneity in nonparametric and semiparametric regression models," CeMMAP working papers CWP09/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
  3. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
  4. Heckman, James J & Ichimura, Hidehiko & Todd, Petra, 1998. "Matching as an Econometric Evaluation Estimator," Review of Economic Studies, Wiley Blackwell, vol. 65(2), pages 261-94, April.
  5. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," NBER Working Papers 6699, National Bureau of Economic Research, Inc.
  6. Heckman, James J. & Robb, Richard Jr., 1985. "Alternative methods for evaluating the impact of interventions : An overview," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 239-267.
  7. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-75, March.
  8. Heckman, James J. & Lalonde, Robert J. & Smith, Jeffrey A., 1999. "The economics and econometrics of active labor market programs," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 31, pages 1865-2097 Elsevier.
  9. repec:mtl:montec:05-2002 is not listed on IDEAS
  10. James J. Heckman & Edward J. Vytlacil, 2000. "Local Instrumental Variables," NBER Technical Working Papers 0252, National Bureau of Economic Research, Inc.
  11. Edward Vytlacil, 2002. "Independence, Monotonicity, and Latent Index Models: An Equivalence Result," Econometrica, Econometric Society, vol. 70(1), pages 331-341, January.
  12. James J. Heckman & Jeffrey A. Smith, 1998. "Evaluating the Welfare State," NBER Working Papers 6542, National Bureau of Economic Research, Inc.
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