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Over-Identified Doubly Robust Identification and Estimation

Arthur Lewbel, Jin-Young Choi and Zhuzhu Zhou

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 don't 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 (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)
JEL-codes: C31 C36 C51 (search for similar items in EconPapers)
Date: 2019-12-15, Revised 2022-01-15
New Economics Papers: this item is included in nep-ecm and nep-ore
Note: previously circulated as "General Doubly Robust Identification and Estimation"
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Over-identified Doubly Robust identification and estimation (2023) Downloads
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