401. Nonparametric Instrumental Regression With Right Censored Duration Outcomes
- Author
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Jean-Pierre Florens, Jad Beyhum, and Ingrid Van Keilegom
- Subjects
Statistics and Probability ,Economics and Econometrics ,Endogeneity ,Economics ,Statistics & Probability ,Econometrics (econ.EM) ,Social Sciences ,Mathematics - Statistics Theory ,Statistics Theory (math.ST) ,Quantitative Biology - Quantitative Methods ,01 natural sciences ,FOS: Economics and business ,010104 statistics & probability ,Business & Economics ,0502 economics and business ,Statistics ,FOS: Mathematics ,Partial identification ,Medicine ,0101 mathematics ,Duration (project management) ,Quantitative Methods (q-bio.QM) ,Economics - Econometrics ,050205 econometrics ,Science & Technology ,business.industry ,05 social sciences ,Instrumental variable ,Confounding ,Nonparametric statistics ,Social Sciences, Mathematical Methods ,Duration Models ,Regression ,Nonseparability ,FOS: Biological sciences ,Physical Sciences ,Statistics, Probability and Uncertainty ,business ,Mathematical Methods In Social Sciences ,Mathematics ,Social Sciences (miscellaneous) - Abstract
This paper analyzes the effect of a discrete treatment Z on a duration T. The treatment is not randomly assigned. The confounding issue is treated using a discrete instrumental variable explaining the treatment and independent of the error term of the model. Our framework is nonparametric and allows for random right censoring. This specification generates a nonlinear inverse problem and the average treatment effect is derived from its solution. We provide local and global identification properties that rely on a nonlinear system of equations. We propose an estimation procedure to solve this system and derive rates of convergence and conditions under which the estimator is asymptotically normal. When censoring makes identification fail, we develop partial identification results. Our estimators exhibit good finite sample properties in simulations. We also apply our methodology to the Illinois Reemployment Bonus Experiment.
- Published
- 2021
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