“Inference on Breakdown Frontiers”, with Alexandre Poirier (May 2017)
- Abstract: A breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value (e.g., nonnegative) and second that the proportion of units who benefit from treatment is at least a specific value (e.g., at least 50%). For these conclusions, we derive the breakdown frontier for two kinds of assumptions: one which indexes deviations from random assignment of treatment, and one which indexes deviations from rank invariance. These classes of assumptions nest both the point identifying assumptions of random assignment and rank invariance and the opposite end of no constraints on treatment selection or the dependence structure between potential outcomes. This frontier provides a quantitative measure of robustness of conclusions to deviations in the point identifying assumptions. We derive root-N-consistent sample analog estimators for these frontiers. We then provide an asymptotically valid bootstrap procedure for constructing lower uniform confidence bands for the breakdown frontier. As a measure of robustness, this confidence band can be presented alongside traditional point estimates and confidence intervals obtained under point identifying assumptions. We illustrate this approach in an empirical application to the effect of child soldiering on wages. We find that conclusions are fairly robust to failure of rank invariance, when random assignment holds, but conclusions are much more sensitive to both assumptions for small deviations from random assignment.
“Partial Independence in Nonseparable Models“, with Alexandre Poirier (June 2016), Revision requested
- Abstract: We analyze identification of nonseparable models under three kinds of exogeneity assumptions weaker than full statistical independence. The first is based on quantile independence. Selection on unobservables drives deviations from full independence. We show that such deviations based on quantile independence require non-monotonic and oscillatory propensity scores. Our second and third approaches are based on a distance-from-independence metric, using either a conditional cdf or a propensity score. Under all three approaches we obtain simple analytical characterizations of identified sets for various parameters of interest. We do this in three models: the exogenous regressor model of Matzkin (2003), the instrumental variable model of Chernozhukov and Hansen (2005), and the binary choice model with nonparametric latent utility of Matzkin (1992).
“A Practical Guide to Compact Infinite Dimensional Parameter Spaces’‘, with Joachim Freyberger (May 2017) (Supplemental appendix; Previous version)
Abstract: We gather and review general compactness results for many commonly used parameter spaces in nonparametric estimation, and we provide several new results. We consider three kinds of functions: (1) functions with bounded domains which satisfy standard norm bounds, (2) functions with bounded domains which do not satisfy standard norm bounds, and (3) functions with unbounded domains. In all three cases we provide two kinds of results, compact embedding and closedness, which together allow one to show that parameter spaces defined by a ||·||s- norm bound are compact under a norm ||·||c. We illustrate how these results are typically used in econometrics by considering two common settings: nonparametric mean regression and nonparametric instrumental variables estimation.
- Abstract: This paper considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations models are used to study social interactions, strategic interactions between firms, and market equilibrium. Random coefficient models allow for heterogeneous marginal effects. I show that random coefficient seemingly unrelated regression models with common regressors are not point identified, which implies random coefficient simultaneous equations models are not point identified. Important features of these models, however, can be identified. For two-equation systems, I give two sets of sufficient conditions for point identification of the coefficients’ marginal distributions conditional on exogenous covariates. The first allows for small support continuous instruments under tail restrictions on the distributions of unobservables which are necessary for point identification. The second requires full support instruments, but allows for nearly arbitrary distributions of unobservables. I discuss how to generalize these results to many equation systems, where I focus on linear-in-means models with heterogeneous endogenous social interaction effects. I give sufficient conditions for point identification of the distributions of these endogenous social effects. I propose a consistent nonparametric kernel estimator for these distributions based on the identification arguments. I apply my results to the Add Health data to analyze peer effects in education.
“Instrumental Variables Estimation of a Generalized Correlated Random Coefficients Model” (2014), with Alex Torgovitsky
“Identification of Instrumental Variable Correlated Random Coefficients Models” (2016), with Alex Torgovitsky, The Review of Economics and Statistics (Preprint)
- Abstract: We study identification and estimation of the average partial effect in an instrumental variable correlated random coefficients model with continuously distributed endogenous regressors. This model allows treatment effects to be correlated with the level of treatment. The main result shows that the average partial effect is identified by averaging coefficients obtained from a collection of ordinary linear regressions that condition on different realizations of a control function. These control functions can be constructed from binary or discrete instruments which may affect the endogenous variables heterogeneously. Our results suggest a simple estimator that can be implemented with a companion Stata module.
“A Specification Test for Discrete Choice Models” (2013) with Mark Chicu, Economics Letters
- Abstract: In standard discrete choice models, adding options cannot increase the choice probability of an existing alternative. We use this observation to construct a simple nonparametric specification test by exploiting variation in the choice sets individuals face. We use a multiple testing procedure to determine the particular kind of choice sets that produce violations. We apply these tests to the 1896 US House of Representatives election and reject commonly used discrete choice voting models.
“How Should the Graduate Economics Core be Changed?” (2011) with Jose Miguel Abito, Katarina Borovickova, Hays Golden, Jacob Goldin, Miguel Morin, Alexandre Poirier, Vincent Pons, Israel Romem, Tyler Williams, and Chamna Yoon, The Journal of Economic Education
- Abstract: The authors present suggestions by graduate students from a range of economics departments for improving the first-year core sequence in economics. The students identified a number of elements that should be added to the core: more training in building microeconomic models, a discussion of the methodological foundations of model-building, more emphasis on institutions to motivate and contextualize macroeconomic models, and greater focus on econometric practice rather than theory. The authors hope that these suggestions will encourage departments to take a fresh look at the content of the first-year core.