Understanding instrumental variables in models with essential heterogeneity

• 成果类型: Article
• 署名作者: Heckman, James J.; Urzua, Sergio; Vytlacil, Edward
• 署名单位: University of Chicago; University College Dublin; Columbia University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.88.3.389
• 发表日期: 2006-08
• 页码: 389-432
• 关键词: selection bias; treatment parameters; sample selection; returns; POLICY; identification; INDEPENDENCE; uncertainty; COMPETITION; tests

摘要

This paper examines the properties of instrumental variables (IV) applied to models with essential heterogeneity, that is, models where responses to interventions are heterogeneous and agents adopt treatments (participate in programs) with at least partial knowledge of their idiosyncratic response. We analyze two-outcome and multi ple-outcome models, including ordered and unordered choice models. We allow for transition-specific and general instruments. We generalize previous analyses by developing weights for treatment effects for general instruments. We develop a simple test for the presence of essential heterogeneity. We note the asymmetry of the model of essential heterogeneity: outcomes of choices are heterogeneous in a general way; choices are not. When both choices and outcomes are permitted to be symmetrically heterogeneous, the method of IV breaks down for estimating treatment parameters.