Over-identified Doubly Robust identification and estimation

Arthur Lewbel, Jin Young Choi and Zhuzhu Zhou

Journal of Econometrics, 2023, vol. 235, issue 1, 25-42

Abstract: Consider two parametric models. At least one is correctly specified, but we do not know which. Both models include a common vector of parameters. An estimator for this common parameter vector is called Doubly Robust (DR) if it is consistent no matter which model is correct. We provide a general technique for constructing DR estimators (assuming the models are over identified). Our Over-identified Doubly Robust (ODR) technique is a simple extension of the Generalized Method of Moments. We illustrate our ODR with a variety of models. Our empirical application is instrumental variables estimation, where either one of two instrument vectors might be invalid.

Keywords: Doubly Robust estimation; Generalized method of moments; Instrumental variables; Average Treatment Effects; Parametric models (search for similar items in EconPapers)
Date: 2023
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Working Paper: Over-Identified Doubly Robust Identification and Estimation (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:235:y:2023:i:1:p:25-42

DOI: 10.1016/j.jeconom.2022.01.009

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