General Doubly Robust Identification and Estimation
Arthur Lewbel (),
Jin-Young Choi () and
Zhuzhu Zhou ()
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Zhuzhu Zhou: Boston College
No 1003, Boston College Working Papers in Economics from Boston College Department of Economics
Consider two parametric models. At least one is correctly specified, but we donít know which. Both models include a common vector of parameters. An estimator for this common parameter vector is called Doubly Robust (DR) if it's consistent no matter which model is correct. We provide a general technique for constructing DR estimators. Our General Doubly Robust (GDR) technique is a simple extension of the Generalized Method of Moments. We illustrate our GDR with a variety of models, including average treatment effect estimation. 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 E§ects; Parametric Models (search for similar items in EconPapers)
JEL-codes: C51 C36 C31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ore
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