Nonparametric Instrumental Regression With Right Censored Duration Outcomes

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2022
Volume: 40
Issue: 3
Pages: 1034-1045

Authors (3)

Jad Beyhum (KU Leuven) Jean-Pierre Florens (not in RePEc) Ingrid Van Keilegom (not in RePEc)

Score contribution per author:

1.345 = (α=2.02 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article analyzes the effect of a discrete treatment Z on a duration T. The treatment is not randomly assigned. The confounding issue is treated using a discrete instrumental variable explaining the treatment and independent of the error term of the model. Our framework is nonparametric and allows for random right censoring. This specification generates a nonlinear inverse problem and the average treatment effect is derived from its solution. We provide local and global identification properties that rely on a nonlinear system of equations. We propose an estimation procedure to solve this system and derive rates of convergence and conditions under which the estimator is asymptotically normal. When censoring makes identification fail, we develop partial identification results. Our estimators exhibit good finite sample properties in simulations. We also apply our methodology to the Illinois Reemployment Bonus Experiment.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:40:y:2022:i:3:p:1034-1045
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-24