On Policy Evaluation With Aggregate Time-Series Instruments

Dmitry Arkhangelsky and Vasily Korovkin

No 18931, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We develop an estimator for applications where the variable of interest is endogenous, and researchers have access to aggregate instruments. Our method addresses the critical identification challenge – unobserved confounding, which renders conventional estimators invalid. Our proposal relies on a new data-driven aggregation scheme that eliminates the unobserved confounders. We illustrate the advantages of our algorithm using data from Nakamura and Steinsson (2014) study of local fiscal multipliers. We introduce a finite population model with aggregate uncertainty to analyze our estimator. We establish conditions for consistency and asymptotic normality and show how to use our estimator to conduct valid inference.

Keywords: Difference in differences; Panel data; Causal effects; Instrumental variables; Treatment effects; Synthetic control (search for similar items in EconPapers)
JEL-codes: C18 C21 C23 C26 (search for similar items in EconPapers)
Date: 2024-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP18931 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:18931

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP18931

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().