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Nonparametric Instrumental Regression with Right Censored Duration Outcomes

Author

Listed:
  • Beyhum, Jad
  • Florens, Jean-Pierre
  • Van Keilegom, Ingrid

Abstract

This paper analyzes the effect of a discrete treatment Z on a duration T. The treatment is not randomly assigned. The confoundingness 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

  • Beyhum, Jad & Florens, Jean-Pierre & Van Keilegom, Ingrid, 2020. "Nonparametric Instrumental Regression with Right Censored Duration Outcomes," TSE Working Papers 20-1164, Toulouse School of Economics (TSE).
    • Handle: RePEc:tse:wpaper:124931
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    References listed on IDEAS

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    Keywords

    Duration Models; Endogeneity; Instrumental variable; Nonseparability; Partial identification;
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