Local Instrumental Variables / James J. Heckman, Edward J. Vytlacil.

Format:

Book

Author/Creator:

Heckman, James J.

Contributor:

National Bureau of Economic Research.

Vytlacil, Edward J.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0252.

NBER technical working paper series no. t0252

Language:

English

Subjects (All):

Instrumental variables (Statistics).

Latent variables.

Estimation theory.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2000.

Cambridge, Massachusetts : National Bureau of Economic Research, 2000.

Summary:

This paper unites the treatment effect literature and the latent variable literature. The economic questions answered by the commonly used treatment effect parameters are considered. We demonstrate how the marginal treatment effect parameter can be used in a latent variable framework to generate the average treatment effect, the effect of treatment on the treated and the local average treatment effect, thereby establishing a new relationship among these parameters. The method of local instrumental variables directly estimates the marginal treatment effect parameters, and thus can be used to estimate all of the conventional treatment effect parameters when the index condition holds and the parameters are identified. When they are not, the method of local instrumental variables can be used to produce bounds on the parameters with the width of the bounds depending on the width of the support for the index generating the choice of the observed potential outcome.

Notes:

Print version record

April 2000.