Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217176 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 10 [Issue:] 4 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2019 [Pages:] 1619-1657
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
This paper studies measuring various average effects of X on Y in general structural systems with unobserved confounders U, a potential instrument Z, and a proxy W for U. We do not require X or Z to be exogenous given the covariates or W to be a perfect one-to-one mapping of U. We study the identification of coefficients in linear structures as well as covariate-conditioned average nonparametric discrete and marginal effects (e.g., average treatment effect on the treated), and local and marginal treatment effects. First, we characterize the bias, due to the omitted variables U, of (nonparametric) regression and instrumental variables estimands, thereby generalizing the classic linear regression omitted variable bias formula. We then study the identification of the average effects of X on Y when U may statistically depend on X and Z. These average effects are point identified if the average direct effect of U on Y is zero, in which case exogeneity holds, or if W is a perfect proxy, in which case the ratio (contrast) of the average direct effect of U on Y to the average effect of U on W is also identified. More generally, restricting how the average direct effect of U on Y compares in magnitude and/or sign to the average effect of U on W can partially identify the average effects of X on Y. These restrictions on confounding are weaker than requiring benchmark assumptions, such as exogeneity or a perfect proxy, and enable a sensitivity analysis. After discussing estimation and inference, we apply this framework to study earnings equations.
Subjects: 
Causality
confounding
endogeneity
omitted variable bias
partial identification
proxy
sensitivity analysis
JEL: 
C31
C35
C36
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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