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Home | Events Archive | Identification with Possibly Invalid IVs
Seminar

Identification with Possibly Invalid IVs


  • Series
    Econometrics Seminars and Workshop Series
  • Speaker(s)
    Jad Beyhum (KU Leuven, Belgium)
  • Field
    Econometrics, Data Science
  • Location
    University of Amsterdam, Room E5.22
    Amsterdam
  • Date and time

    April 19, 2024
    12:30 - 13:30

Abstract
This paper proposes a novel identification strategy relying on quasi-instrumental variables (quasi-IVs). A quasi-IV is a relevant but possibly invalid IV because it is not exogenous or excluded. We show that a variety of models with discrete or continuous endogenous treatment, which are usually identified with an IV - quantile models with rank invariance, additive models with homogenous treatment effects, and local average treatment effect models - can be identified under the joint relevance of two complementary quasi-IVs instead. To achieve identification we complement one excluded but possibly endogenous quasi-IV (e.g., ``relevant proxies'' such as previous treatment choice) with one exogenous (conditional on the excluded quasi-IV) but possibly include quasi-IV (e.g., random assignment or exogenous market shocks). In practice, our identification strategy should be attractive since complementary quasi-IVs should be easier to find than standard IVs. Our approach also holds if any of the two quasi-IVs turns out to be a valid IV. Joint work with Christophe Bruneel-Zupanc.