| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29709 |
| 来源ID | Working Paper 29709 |
| When is TSLS Actually LATE? | |
| Christine Blandhol; John Bonney; Magne Mogstad; Alexander Torgovitsky | |
| 发表日期 | 2022-01-31 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Linear instrumental variable estimators, such as two-stage least squares (TSLS), are commonly interpreted as estimating positively weighted averages of causal effects, referred to as local average treatment effects (LATEs). We examine whether the LATE interpretation actually applies to the types of TSLS specifications that are used in practice. We show that if the specification includes covariates—which most empirical work does—then the LATE interpretation does not apply in general. Instead, the TSLS estimator will, in general, reflect treatment effects for both compliers and always/nevertakers, and some of the treatment effects for the always/never-takers will necessarily be negatively weighted. We show that the only specifications that have a LATE interpretation are "saturated" specifications that control for covariates nonparametrically, implying that such specifications are both sufficient and necessary for TSLS to have a LATE interpretation, at least without additional parametric assumptions. This result is concerning because, as we document, empirical researchers almost never control for covariates nonparametrically, and rarely discuss or justify parametric specifications of covariates. We develop a decomposition that quantifies the extent to which the usual LATE interpretation fails. We apply the decomposition to four empirical analyses and find strong evidence that the LATE interpretation of TSLS is far from accurate for the types of specifications actually used in practice. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w29709 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587383 |
| 推荐引用方式 GB/T 7714 | Christine Blandhol,John Bonney,Magne Mogstad,et al. When is TSLS Actually LATE?. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29709.pdf（687KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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