Economics at your fingertips  

ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model

David Benson, Matthew Masten and Alexander Torgovitsky

No 2020-046r1, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We discuss the ivcrc module, which implements an instrumental variables (IV) estimator for the linear correlated random coefficients (CRC) model. The CRC model is a natural generalization of the standard linear IV model that allows for endogenous, multivalued treatments and unobserved heterogeneity in treatment effects. The estimator implemented by ivcrc uses recent semiparametric identification results that allow for flexible functional forms and permit instruments that may be binary, discrete, or continuous. The ivcrc module also allows for the estimation of varying coefficients regressions, which are closely related in structure to the proposed IV estimator. We illustrate use of ivcrc by estimating the returns to education in the National Longitudinal Survey of Young Men.

Keywords: ivregress; Instrumental variables; Correlated random coefficients; Heterogeneous treatment effects; Varying coefficient models; Returns to schooling (search for similar items in EconPapers)
JEL-codes: C14 C26 C51 I26 (search for similar items in EconPapers)
Pages: 29
Date: 2020-06-16, Revised 2022-04-04
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) (application/pdf)

Related works:
Journal Article: ivcrc: An instrumental-variables estimator for the correlated random-coefficients model (2022) Downloads
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:

DOI: 10.17016/FEDS.2020.046r1

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().

Page updated 2024-05-15
Handle: RePEc:fip:fedgfe:2020-46