Salvaging Falsified Instrumental Variable Models

• 成果类型: Article
• 署名作者: Masten, Matthew A.; Poirier, Alexandre
• 署名单位: Duke University; Georgetown University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17969
• 发表日期: 2021
• 页码: 1449-1469
• 关键词: sensitivity-analysis; inference

摘要

What should researchers do when their baseline model is falsified? We recommend reporting the set of parameters that are consistent with minimally nonfalsified models. We call this the falsification adaptive set (FAS). This set generalizes the standard baseline estimand to account for possible falsification. Importantly, it does not require the researcher to select or calibrate sensitivity parameters. In the classical linear IV model with multiple instruments, we show that the FAS has a simple closed-form expression that only depends on a few 2SLS coefficients. We apply our results to an empirical study of roads and trade. We show how the FAS complements traditional overidentification tests by summarizing the variation in estimates obtained from alternative nonfalsified models.