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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

Abstract: 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)
Date: 2019-12-15
New Economics Papers: this item is included in nep-ecm and nep-ore
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