Instrumental variables (IV) is a powerful tool for leveraging external (“exogenous”) variation to estimate the causal effects of otherwise confounded (“endogenous”) variables. This one-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 in judge leniency designs, shift-share IV, and more. The course will include substantial group programming exercises, where different IV techniques will be illustrated in real-world applications.
Introduction
About
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Introduction
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Regression Review
- Models vs. Estimands vs. Estimators
- Regression Identification and Endogeneity
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Introduction to IV
- Instrument Validity and Relevance
- The 2SLS Estimator
Slides
Readings
Understanding IV
About
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Where do (Good) Instruments Come From?
- True Lotteries
- Natural Experiments
- Panel Data
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2SLS Mechanics
- Just-Identified IV
- Overidentification
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Weak and Many IVs
- Weak IV
- Many IVs
Slides
Readings
Angrist, Imbens, and Krueger (1999)
Lee, Moreira, McCrary, and Porter (2020)
Bound, Jaeger, and Baker (1995)
Heterogeneous Effects
About
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The LATE Theorem
- Potential Outcomes Setup
- Theorem and Extensions
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Characterizing Compliers
- Outcomes
- Covariates
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Marginal Treatment Effects
- Continuous Instruments
- Discrete Instruments
Slides
Readings
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)
IV Frontiers
About
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Judge/Examiner IV
- Approach
- Cautions
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Shift-Share IV
- Approach
- Cautions
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Other Frontiers
- Diff-in-diff IV
- Recentered IV
Slides
Readings
Adao, Kolesar, and Morales (2019)
Goldsmith-Pinkham, Sorkin, and Swift (2020)
Conclusion
About
This is a short lecture concluding the Mixtape Session. Thanks for coming!
Slides
React
Typescript
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