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Semiparametrically Efficient Estimation of Conditional Instrumental Variables Parameters

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  • Kasy Maximilian

    (University of California, Berkeley)

Abstract

In this paper, I propose a set of parameters designed to identify the slope of structural relationships based on a combination of conditioning on covariates and the use of an exogenous instrument. After giving structural interpretations to these parameters in the context of specific semiparametric models, I derive their efficient influence curves in a fully nonparametric context as well as under imposition of restrictions on the instrument. These influence curves give the semiparametric efficiency bounds for regular asymptotically linear estimators of the parameters and allow the construction of asymptotically efficient estimators. Monte Carlo experiments finally demonstrate the good finite sample performance of such estimators.

Suggested Citation

  • Kasy Maximilian, 2009. "Semiparametrically Efficient Estimation of Conditional Instrumental Variables Parameters," The International Journal of Biostatistics, De Gruyter, vol. 5(1), pages 1-25, June.
    • Handle: RePEc:bpj:ijbist:v:5:y:2009:i:1:n:22
    DOI: 10.2202/1557-4679.1153
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    References listed on IDEAS

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    1. Joshua D. Angrist & Jörn-Steffen Pischke, 2009. "Mostly Harmless Econometrics: An Empiricist's Companion," Economics Books, Princeton University Press, edition 1, number 8769.
    2. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-475, March.
    3. Card, David, 2001. "Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems," Econometrica, Econometric Society, vol. 69(5), pages 1127-1160, September.
    4. van der Laan Mark J. & Rubin Daniel, 2006. "Targeted Maximum Likelihood Learning," The International Journal of Biostatistics, De Gruyter, vol. 2(1), pages 1-40, December.
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    Cited by:

    1. Carolina Caetano & Juan Carlos Escaniano, 2015. "Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity," CAEPR Working Papers 2015-009, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    2. Kara E. Rudolph & Iván Díaz, 2022. "When the ends do not justify the means: Learning who is predicted to have harmful indirect effects," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 573-589, December.

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