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Discussion on “Instrumented difference‐in‐differences” by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy & Dylan S. Small

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  • Hyunseung Kang

Abstract

We reinterpret the instrumented difference‐in‐differences (iDID) under a linear instrumental variables (IV) model. Under the linear IV model, we show why iDID is a clear improvement over two existing methods, difference‐in‐differences (DID) and a cross‐sectional, IV analysis. We also re‐express some of the assumptions of iDID using familiar, regression‐based identification assumptions. We conclude with a method inspired by the linear IV model that can potentially remedy the weak identification problem in iDID.

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  • Hyunseung Kang, 2023. "Discussion on “Instrumented difference‐in‐differences” by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy & Dylan S. Small," Biometrics, The International Biometric Society, vol. 79(2), pages 592-596, June.
    • Handle: RePEc:bla:biomet:v:79:y:2023:i:2:p:592-596
    DOI: 10.1111/biom.13784
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    References listed on IDEAS

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    1. Moreira, Marcelo J., 2009. "Tests with correct size when instruments can be arbitrarily weak," Journal of Econometrics, Elsevier, vol. 152(2), pages 131-140, October.
    2. Zijian Guo & Hyunseung Kang & T. Tony Cai & Dylan S. Small, 2018. "Confidence intervals for causal effects with invalid instruments by using two‐stage hard thresholding with voting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(4), pages 793-815, September.
    3. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
    4. Hyunseung Kang & Anru Zhang & T. Tony Cai & Dylan S. Small, 2016. "Instrumental Variables Estimation With Some Invalid Instruments and its Application to Mendelian Randomization," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(513), pages 132-144, March.
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