TY - JOUR
AU - Abadie,Alberto
TI - Semiparametric Estimation of Instrumental Variable Models for Causal Effects
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 260
PY - 2000
Y2 - September 2000
DO - 10.3386/t0260
UR - http://www.nber.org/papers/t0260
L1 - http://www.nber.org/papers/t0260.pdf
N1 - Author contact info:
Alberto Abadie
John F. Kennedy School of Government
Harvard University
79 JFK Street
Cambridge, MA 02138
Tel: 617/496-4547
Fax: 617/496-5960
E-Mail: alberto_abadie@harvard.edu
AB - This article introduces a new class of instrumental variable (IV) estimators of causal treatment effects for linear and nonlinear models with covariates. The rationale for focusing on nonlinear models is to improve the approximation to the causal response function of interest. For example, if the dependent variable is binary or limited, or if the effect of the treatment varies with covariates, a nonlinear model is likely to be appropriate. However, identification is not attained through functional form restrictions. This paper shows how to estimate a well-defined approximation to a nonlinear causal response function of unknown functional form using simple parametric models. As an important special case, I introduce a linear model that provides the best linear approximation to an underlying causal relation. It is shown that Two Stage Least Squares (2SLS) does not always have this property and some possible interpretations of 2SLS coefficients are brie y studied. The ideas and estimators in this paper are illustrated using instrumental variables to estimate the effects of 401(k) retirement programs on savings.
ER -