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Two-Stage Least Squares Random Forests with a Replication of Angrist and Evans (1998)

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  • Kugler, Philipp
  • Biewen, Martin

Abstract

We develop the case of two-stage least squares estimation (2SLS) in the general framework of Athey et al. (Generalized Random Forests, Annals of Statistics, Vol. 47, 2019) and provide a software implementation for R and C++. We use the method to revisit the classic application of instrumental variables in Angrist and Evans (Children and Their Parents' Labor Supply: Evidence from Exogenous Variation in Family Size, American Economic Review, Vol. 88, 1998). The two-stage least squares random forest allows one to investigate local heterogenous effects that cannot be investigated using ordinary 2SLS.

Suggested Citation

  • Kugler, Philipp & Biewen, Martin, 2020. "Two-Stage Least Squares Random Forests with a Replication of Angrist and Evans (1998)," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224538, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc20:224538
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    File URL: https://www.econstor.eu/bitstream/10419/224538/1/vfs-2020-pid-38905.pdf
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    References listed on IDEAS

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    1. Helmut Farbmacher & Raphael Guber & Sven Klaassen, 2022. "Instrument Validity Tests With Causal Forests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 605-614, April.
    2. Chernozhukov, Victor & Hansen, Christian, 2008. "The reduced form: A simple approach to inference with weak instruments," Economics Letters, Elsevier, vol. 100(1), pages 68-71, July.
    3. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
    4. Sexton, Joseph & Laake, Petter, 2009. "Standard errors for bagged and random forest estimators," Computational Statistics & Data Analysis, Elsevier, vol. 53(3), pages 801-811, January.
    5. Roustant, Olivier & Ginsbourger, David & Deville, Yves, 2012. "DiceKriging, DiceOptim: Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 51(i01).
    6. Angrist, Joshua D & Evans, William N, 1998. "Children and Their Parents' Labor Supply: Evidence from Exogenous Variation in Family Size," American Economic Review, American Economic Association, vol. 88(3), pages 450-477, June.
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    Cited by:

    1. Biewen, Martin & Kugler, Philipp, 2021. "Two-stage least squares random forests with an application to Angrist and Evans (1998)," Economics Letters, Elsevier, vol. 204(C).

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    More about this item

    Keywords

    machine learning; generalized random forests; fertility; instrumental variable estimation;
    All these keywords.

    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • J22 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Time Allocation and Labor Supply
    • J13 - Labor and Demographic Economics - - Demographic Economics - - - Fertility; Family Planning; Child Care; Children; Youth
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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