论文标题
内源治疗效应估计，一些无效和无关的仪器
Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments
论文作者
论文摘要
仪器变量（IV）回归是估计内源治疗效应的流行方法。常规静脉注射方法需要所有工具相关且有效。但是，这是不切实际的，尤其是在高维模型中，当我们考虑大量候选IV时。在本文中，我们提出了一个IV估计量，以使无效和无关的仪器（称为R2ive）的存在来估计内源治疗效果。本文扩展了Kang等人的范围。 （2016）考虑了真正的高维IV模型和非参数降低形式方程。结果表明，我们的过程可以始终如一地选择相关和有效的仪器，并且提出的R2ive是root-n一致且渐近地正常的。 Monte Carlo模拟表明，与现有的高维静脉估计器（例如，Naive（Fan and Zhong，2018）和Sisvive（Kang等，2016）相比，R2IVE的性能相比具有优惠的性能。在实证研究中，我们重新审视了贸易与成长的经典问题（Frankel and Romer，1999）。
Instrumental variables (IV) regression is a popular method for the estimation of the endogenous treatment effects. Conventional IV methods require all the instruments are relevant and valid. However, this is impractical especially in high-dimensional models when we consider a large set of candidate IVs. In this paper, we propose an IV estimator robust to the existence of both the invalid and irrelevant instruments (called R2IVE) for the estimation of endogenous treatment effects. This paper extends the scope of Kang et al. (2016) by considering a true high-dimensional IV model and a nonparametric reduced form equation. It is shown that our procedure can select the relevant and valid instruments consistently and the proposed R2IVE is root-n consistent and asymptotically normal. Monte Carlo simulations demonstrate that the R2IVE performs favorably compared to the existing high-dimensional IV estimators (such as, NAIVE (Fan and Zhong, 2018) and sisVIVE (Kang et al., 2016)) when invalid instruments exist. In the empirical study, we revisit the classic question of trade and growth (Frankel and Romer, 1999).
