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We provide a non-asymptotic analysis of the linear instrumental variable estimator allowing for the presence of exogeneous covariates. In addition, we introduce a novel measure of the strength of an instrument that can be used to derive…
Instrumental variable methods are widely used for causal inference, but identification becomes especially challenging when instruments are weak and potentially invalid. These challenges are particularly pronounced in Mendelian…
Unobserved confounding is the main obstacle to causal effect estimation from observational data. Instrumental variables (IVs) are widely used for causal effect estimation when there exist latent confounders. With the standard IV method,…
In the context of having an instrumental variable, the standard practice in causal inference begins by targeting an effect of interest and proceeds by formulating assumptions enabling its identification. We turn this around by adhering to…
Instrumental variable (IV) methods are widely used to infer treatment effects in the presence of unmeasured confounding. In this paper, we study nonparametric inference with an IV under a separable binary treatment choice model, which…
In this study, we explore the partial identification of nonseparable models with continuous endogenous and binary instrumental variables. We show that the structural function is partially identified when it is monotone or concave in the…
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S.…
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we show that a non-centred parameterization of stochastic…
We study instrumental-variable designs where policy reforms strongly shift the distribution of an endogenous variable but only weakly move its mean. We formalize this by introducing distributional relevance: instruments may be purely…
Vector autoregressions (VARs) with multivariate stochastic volatility are widely used for structural analysis. Often the structural model identified through economically meaningful restrictions--e.g., sign restrictions--is supposed to be…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…
Linear instrumental variable regressions are widely used to estimate causal effects. Many instruments arise from the use of ``technical'' instruments and more recently from the empirical strategy of ``judge design''. This paper surveys and…
Many proposals for the identification of causal effects require an instrumental variable that satisfies strong, untestable unconfoundedness and exclusion restriction assumptions. In this paper, we show how one can potentially identify…
I set up a potential outcomes framework to analyze spillover effects using instrumental variables. I characterize the population compliance types in a setting in which spillovers can occur on both treatment take-up and outcomes, and provide…
There is an increasing interest in estimating heterogeneity in causal effects in randomized and observational studies. However, little research has been conducted to understand heterogeneity in an instrumental variables study. In this work,…
One of the most common mistakes made when performing data analysis is attributing causal meaning to regression coefficients. Formally, a causal effect can only be computed if it is identifiable from a combination of observational data and…
We study identification of a structural group effect when the group indicator $G\in\{0,1\}$ is unobserved but the analyst observes a calibrated probability score $p\in[0,1]$ satisfying $\mathbb{E}[G|p,X]=p$. Under a constant-coefficient…
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, sqrt-LASSO, and Post-sqrt-LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments in…
The instrumental variables (IV) method is a method for making causal inferences about the effect of a treatment based on an observational study in which there are unmeasured confounding variables. The method requires a valid IV, a variable…
We propose a weak-identification-robust test for linear instrumental variable (IV) regressions with high-dimensional instruments, whose number is allowed to exceed the sample size. In addition, our test is robust to general error…