Instrumental Variables for Binary Treatments with Heterogeneous Treatment Effects: A Simple Exposition
This note provides a simple exposition of what IV can and cannot estimate in a model with abinary treatment variable and heterogeneous treatment effects. It shows how linear IV is amisspecification of functional form and the reason why linear IV estimates for this model willalways depend on the instrument used is because of this misspecification. It shows that if onecan estimate the correct functional form (non-linear IV) then the treatment effects areindependent of the instrument used. However, the data may not be rich enough in practice tobe able to identify these treatment effects without strong distributional assumptions. In thiscase, one will have to settle for estimates of treatment effects that are instrument-dependent.
|Date of creation:||Feb 2004|
|Date of revision:|
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References listed on IDEAS
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- Joshua D. Angrist, 2003.
"Treatment Effect Heterogeneity in Theory and Practice,"
NBER Working Papers
9708, National Bureau of Economic Research, Inc.
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- Angrist, Joshua, 2003. "Treatment Effect Heterogeneity in Theory and Practice," IZA Discussion Papers 851, Institute for the Study of Labor (IZA).
- Joshua D. Angrist & Guido W. Imbens, 1995.
"Identification and Estimation of Local Average Treatment Effects,"
NBER Technical Working Papers
0118, National Bureau of Economic Research, Inc.
- 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.
- Edward Vytlacil, 2002. "Independence, Monotonicity, and Latent Index Models: An Equivalence Result," Econometrica, Econometric Society, vol. 70(1), pages 331-341, January.
- Joshua D. Angrist & Guido W. Imbens, 1991.
"Sources of Identifying Information in Evaluation Models,"
NBER Technical Working Papers
0117, National Bureau of Economic Research, Inc.
- Angrist, J.D. & Imbens, G.W., 1991. "Sources of identifying information in evaluation models," Discussion Paper 1991-42, Tilburg University, Center for Economic Research.
- Angrist, J.D. & Imbens, G.W., 1991. "Sources of Identifying Information in Evaluation Models," Harvard Institute of Economic Research Working Papers 1568, Harvard - Institute of Economic Research.
- Angrist, J.D. & Imbens, G.W., 1991. "Sources of Identifying Information in Evaluation Models," Papers 9142, Tilburg - Center for Economic Research.
- James J. Heckman & Edward J. Vytlacil, 2000. "Local Instrumental Variables," NBER Technical Working Papers 0252, National Bureau of Economic Research, Inc.
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