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Estimation of complier expected shortfall treatment effects with a binary instrumental variable

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  • Wei, Bo
  • Tan, Kean Ming
  • He, Xuming

Abstract

Estimating the causal effect of a treatment or exposure for a subpopulation is of great interest in many biomedical and economical studies. Expected shortfall, also referred to as the super-quantile, is an attractive effect-size measure that can accommodate data heterogeneity and aggregate local information of effect over a certain region of interest of the outcome distribution. In this article, we propose the ComplieRExpected Shortfall Treatment Effect (CRESTE) model under an instrumental variable framework to quantity the CRESTE for a binary endogenous treatment variable. By utilizing the special characteristics of a binary instrumental variable and a specific formulation of Neyman-orthogonalization, we propose a two-step estimation procedure, which can be implemented by simply solving weighted least-squares regression and weighted quantile regression with estimated weights. We develop the asymptotic properties for the proposed estimator and use numerical simulations to confirm its validity and robust finite-sample performance. An illustrative analysis of a National Job Training Partnership Act study is presented to show the practical utility of the proposed method.

Suggested Citation

  • Wei, Bo & Tan, Kean Ming & He, Xuming, 2024. "Estimation of complier expected shortfall treatment effects with a binary instrumental variable," Journal of Econometrics, Elsevier, vol. 238(2).
    • Handle: RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002889
    DOI: 10.1016/j.jeconom.2023.105572
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    References listed on IDEAS

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