Instrumental variables (IV) is a powerful tool for leveraging external (“exogenous”) variation to estimate the causal effects of otherwise confounded (“endogenous”) variables. This two-day workshop will introduce the basics of IV through different practical examples, formalize the requirements of a valid and powerful IV, and discuss the mechanics of the two-stage least squares (2SLS) estimator. Special focus will be paid on interpreting linear IV under heterogeneous treatment effects and recent advances with “formula” instruments. The course includes a programming exercise where IV techniques are illustrated in a real-world application.
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Introduction
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IV Mechanics
- Just-Identified IV
- OVeridentification
- Weak vs. Many-Weak Bias
Mostly Harmless Economics (excerpt)
Angrist, Imbens, and Krueger (1999)
Lee, Moreira, McCrary, and Porter (2020)
Bound, Jaeger, and Baker (1995)
Hudson, Hull, and Liebersohn (2017)
Abdulkadiroglu, Angrist, Hull, Pathak (2016)
- IV Interpretation
- LATE and Generalizations
- Characterizing Compliers
- Diff-in-Diff and IV
Abadie, Angrist, and Imbens (2002)
Angrist, Graddy, and Imbens (2000)
Angrist, Imbens, and Rubin (1996)
Angrist, Pathak, and Walters (2013)
Arnold, Dobbie, and Hull (2021)
Mogstad, Santos, and Torgovitsky (2018)
Behaghel, Crepon, and Gurgand (2013)
Mogstad, Torgovitsky, and Walters (2021)
Blandhol, Bonney, Mogstad, and Torgovitsky (2022)
Brinch, Mogstad, and Wiswall (2017)
- Formula Instruments
- Shift-Share IV
- Recentered IV
Adao, Kolesar, and Morales (2019)
Goldsmith-Pinkham, Sorkin, and Swift (2020)