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Nonparametric Instrumental Regression With Right Censored Duration Outcomes

Author

Listed:
  • Jad Beyhum

    (KU Leuven - Catholic University of Leuven = Katholieke Universiteit Leuven)

  • Jean-Pierre Florens

    (TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Ingrid van Keilegom

    (KU Leuven - Catholic University of Leuven = Katholieke Universiteit Leuven)

Abstract

This article 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.

Suggested Citation

  • Jad Beyhum & Jean-Pierre Florens & Ingrid van Keilegom, 2022. "Nonparametric Instrumental Regression With Right Censored Duration Outcomes," Post-Print hal-04042903, HAL.
    • Handle: RePEc:hal:journl:hal-04042903
    DOI: 10.1080/07350015.2021.1895814
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    Cited by:

    1. Lorenzo Tedesco & Jad Beyhum & Ingrid Van Keilegom, 2023. "Instrumental variable estimation of the proportional hazards model by presmoothing," Papers 2309.02183, arXiv.org.

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