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Instrumental Variables Estimation with Partially Missing Instruments

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  • Mogstad, Magne

    ()
    (University of Chicago)

  • Wiswall, Matthew

    ()
    (Arizona State University)

Abstract

We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the instrument is non-randomly missing, standard IV estimators require strong, auxiliary assumptions to be consistent. In many (quasi)natural experiments, the auxiliary assumptions are unlikely to hold. We therefore introduce alternative IV estimators that are robust to non-randomly missing instruments without auxiliary assumptions. A Monte-Carlo study illustrates our results.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 4689.

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Length: 23 pages
Date of creation: Jan 2010
Date of revision:
Publication status: published in: Economics Letters, 2012, 114 (2), 186-189
Handle: RePEc:iza:izadps:dp4689

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Keywords: sub-sample estimation; sample selection; partially missing instruments; instrumental variables;

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References

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  1. David Card, 1993. "Using Geographic Variation in College Proximity to Estimate the Return to Schooling," NBER Working Papers 4483, National Bureau of Economic Research, Inc.
  2. S Black & Paul Devereux & Kjell Salvanes, 2005. "The More the Merrier? The Effect of Family Size and Birth Order on Childrens Education," CEE Discussion Papers 0050, Centre for the Economics of Education, LSE.
  3. Åslund, Olof & Grönqvist, Hans, 2010. "Family size and child outcomes: Is there really no trade-off?," Labour Economics, Elsevier, vol. 17(1), pages 130-139, January.
  4. Rosenzweig, Mark R & Wolpin, Kenneth I, 1980. "Testing the Quantity-Quality Fertility Model: The Use of Twins as a Natural Experiment," Econometrica, Econometric Society, vol. 48(1), pages 227-40, January.
  5. Angrist, Joshua D & Krueger, Alan B, 1991. "Does Compulsory School Attendance Affect Schooling and Earnings?," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 979-1014, November.
  6. Pedro Carneiro & James J. Heckman, 2002. "The Evidence on Credit Constraints in Post-Secondary Schooling," NBER Working Papers 9055, National Bureau of Economic Research, Inc.
  7. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
  8. Mogstad, Magne & Wiswall, Matthew, 2009. "How Much Should We Trust Linear Instrumental Variables Estimators? An Application to Family Size and Children's Education," IZA Discussion Papers 4562, Institute for the Study of Labor (IZA).
  9. Angrist, Joshua D, 2001. "Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 2-16, January.
  10. James J. Heckman & Sergio Urzua & Edward J. Vytlacil, 2006. "Understanding Instrumental Variables in Models with Essential Heterogeneity," NBER Working Papers 12574, National Bureau of Economic Research, Inc.
  11. David Card, 2000. "Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems," NBER Working Papers 7769, National Bureau of Economic Research, Inc.
  12. 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.
  13. Joshua Angrist & Victor Lavy & Analia Schlosser, 2010. "Multiple Experiments for the Causal Link between the Quantity and Quality of Children," Journal of Labor Economics, University of Chicago Press, vol. 28(4), pages 773-824, October.
  14. Julio Cáceres-Delpiano, 2006. "The Impacts of Family Size on Investment in Child Quality," Journal of Human Resources, University of Wisconsin Press, vol. 41(4).
  15. repec:fth:prinin:317 is not listed on IDEAS
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Cited by:
  1. Wang, Le, 2012. "Estimating Returns to Education when the IV Sample is Selective," IZA Discussion Papers 7103, Institute for the Study of Labor (IZA).
  2. Bagger, Jesper & Birchenall, Javier A. & Mansour, Hani & Urzua, Sergio, 2013. "Education, Birth Order, and Family Size," IZA Discussion Papers 7454, Institute for the Study of Labor (IZA).

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