Semiparametric Estimation of Average Treatment Effect through a Random Coefficient Dummy Endogenous Variable Model
2012/11/27
研討會日期 : 2012-11-27
時間 : 14:30
主講人 : Professor Yahong Zhou
地點 : Conference Room C103
演講者簡介 : Yahong Zhou received his Ph.D. in Economics from Hong Kong University of Science and Technology in 2005. He is currently serving as Assistant Professor of Economics at Shanghai University of Finance and Economics. His research field is in microeconometrics, microeconomics and industrial organization.
演講摘要 : This paper provides an estimation procedure for average treatment effect through a random coefficient dummy endogenous variable model. A leading example of the model is estimating the effect of a training program on earnings. The model is composed of two equations: an outcome equation and a decision equation. Given the linear restriction in outcome and decision equations, Chen (1999) provided a distribution-free estimation procedure under conditional symmetric error distributions. In this paper we extend the result by relaxing the linear index into a nonparametric function distribution, which greatly reduces the risk of model misspecification. A two-step approach is proposed; the first step uses a nonparametric regression estimator for the decision variable, and the second step uses an instrumental variables approach to estimating average treatment effect in the outcome equation. The proposed estimator is shown to be consistent and asymptotically normally distributed. It also performs well in our simulation study.
