Heterogeneous treatment effects with mismeasured endogenous treatment

This paper studies the identifying power of an instrumental variable in the nonparametric heterogeneous treatment effect framework when a binary treatment is mismeasured and endogenous. Using a binary instrumental variable, I characterize the sharp identified set for the local average treatment effe...

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Bibliographic Details
Published in:Quantitative economics Vol. 9; no. 3; pp. 1335 - 1370
Main Author: Ura, Takuya
Format: Journal Article
Language:English
Published: New Haven, CT The Econometric Society 01.11.2018
John Wiley & Sons, Inc
Subjects:
Averages
C21
C26
Econometrics
Economic models
Endogenous
endogenous measurement error
instrumental variable
Local average treatment effect
Measurement
Measurement errors
nonclassical measurement error
partial identification
Power
ISSN:1759-7331, 1759-7323, 1759-7331
Online Access:Get full text
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Summary:This paper studies the identifying power of an instrumental variable in the nonparametric heterogeneous treatment effect framework when a binary treatment is mismeasured and endogenous. Using a binary instrumental variable, I characterize the sharp identified set for the local average treatment effect under the exclusion restriction of an instrument and the deterministic monotonicity of the true treatment in the instrument. Even allowing for general measurement error (e.g., the measurement error is endogenous), it is still possible to obtain finite bounds on the local average treatment effect. Notably, the Wald estimand is an upper bound on the local average treatment effect, but it is not the sharp bound in general. I also provide a confidence interval for the local average treatment effect with uniformly asymptotically valid size control. Furthermore, I demonstrate that the identification strategy of this paper offers a new use of repeated measurements for tightening the identified set.
Bibliography:Supplementary Material
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ISSN:1759-7331
1759-7323
1759-7331
DOI:10.3982/QE886