论文标题

测试线性和非参数仪器变量模型中均质治疗效果

Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models

论文作者

Beyhum, Jad, Florens, Jean-Pierre, Lapenta, Elia, Van Keilegom, Ingrid

论文摘要

均质治疗效应的假设对于仪器变量文献至关重要。该假设表明所有受试者的治疗效果都是恒定的。它允许将仪器变量估计解释为整个研究人群中的平均治疗效果。当这种假设不存在时,仪器变量估计器的偏差可能大于忽略内生性的天真估计器的偏差。本文在治疗是内源性时开发了两个测试,用于假设均质治疗效果,并且可以使用仪器变量。该测试利用(与误差术语共同)独立于仪器的坐标。该协变量不需要外源。第一个测试假设潜在结果在回归器中是线性的,并且在计算上很简单。第二个测试是非参数,并且依赖于Tikhonov正则化。治疗可以是离散的或连续的。我们表明,在一系列替代方案上,测试具有渐近正确的水平和渐近功率。模拟表明,所提出的测试获得了出色的有限样品表演。该方法还适用于评估学校的收益和鱼类市场价格对需求的影响。

The hypothesis of homogeneous treatment effects is central to the instrumental variables literature. This assumption signifies that treatment effects are constant across all subjects. It allows to interpret instrumental variable estimates as average treatment effects over the whole population of the study. When this assumption does not hold, the bias of instrumental variable estimators can be larger than that of naive estimators ignoring endogeneity. This paper develops two tests for the assumption of homogeneous treatment effects when the treatment is endogenous and an instrumental variable is available. The tests leverage a covariable that is (jointly with the error terms) independent of a coordinate of the instrument. This covariate does not need to be exogenous. The first test assumes that the potential outcomes are linear in the regressors and is computationally simple. The second test is nonparametric and relies on Tikhonov regularization. The treatment can be either discrete or continuous. We show that the tests have asymptotically correct level and asymptotic power equal to one against a range of alternatives. Simulations demonstrate that the proposed tests attain excellent finite sample performances. The methodology is also applied to the evaluation of returns to schooling and the effect of price on demand in a fish market.

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