Identification of instrumental variable correlated random coefficients models

Journal Article (Journal Article)

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.

Full Text

Duke Authors

Cited Authors

  • Masten, MA; Torgovitsky, A

Published Date

  • December 1, 2016

Published In

Volume / Issue

  • 98 / 5

Start / End Page

  • 1001 - 1005

Electronic International Standard Serial Number (EISSN)

  • 1530-9142

International Standard Serial Number (ISSN)

  • 0034-6535

Digital Object Identifier (DOI)

  • 10.1162/REST_a_00603

Citation Source

  • Scopus