Unbiased IV in Stata

Austin Nichols ()
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Austin Nichols: Abt Associates

2019 Stata Conference from Stata Users Group

Abstract: A well-known result is that exactly identified IV has no moments, including in the ideal case of an experimental design (i.e. a randomized control trial with imperfect compliance. This result no longer holds when the sign of the first stage is known, however. I describe a Stata implementation of an unbiased estimator for instrumental variables models with a single endogenous regressor where the sign of one or more first‐stage coefficients is known (due to Andrews and Armstrong 2017) and its finite sample properties under alternative error structures.

Date: 2019-08-02
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http://fmwww.bc.edu/repec/scon2019/chicago19_Nichols.pdf

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Working Paper: Unbiased IV in Stata (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:scon19:44

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