가 .  일시  : 9 월  14 일 ( 목 ) 12 시 ~13 시

나 .  장소  :  미래관  906 호 세미나실

다 .  연사  :  이명재 교수  ( 고려대학교 경제학과 )

라 .  제목  : What Is Estimated by Instrumental Variable Estimator with Any Outcome Variable

마 .  저자  :  명랑미 ( 국민건강보험공당 ),  이명재

바 .  초록

For a binary treatment D, an outcome Y and covariate X, a linear model with a constant treatment effect is widely used, but the linear model is untenable if Y is a limited dependent variable (LDV) and there is a continuous covariate. Despite this problem, motivations to use a linear model are strong when D is endogenous, because dealing with a binary endogenous D and a LDV Y is particularly difficult unless a fully parametric approach is adopted. Hence, practitioners often apply instrumental variable estimator(IVE) to a linear model with a LDV Y . In this paper, firstly, we show that IVE with a binary instrument Z for D estimates a ‘weighted average of X-heterogeneous effects on compliers’ plus a bias term, where the bias is not zero in general unless a restrictive condition is met. Secondly, the bias can be reduced much by specifying the X-part in the linear model such that the X-part explains Z well, not just Y . Thirdly, a modified IVE using the ‘instrument residual’ instead of Z has zero bias without the restrictive condition. An empirical analysis is provided to demonstrate these points.