Open Accessivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model
Author(s) -
David A. Benson,
Matthew A. Masten,
Alexander Torgovitsky
Publication year - 2022
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2020.046r1
Subject(s) - estimator , instrumental variable , generalization , mathematics , linear model , random effects model , econometrics , statistics , identification (biology) , fixed effects model , panel data , medicine , mathematical analysis , meta analysis , botany , biology
We discuss the ivcrc module, which implements an instrumental variables (IV) estimator for the linear correlated random coefficients (CRC) model. The CRC model is a natural generalization of the standard linear IV model that allows for endogenous, multivalued treatments and unobserved heterogeneity in treatment effects. The estimator implemented by ivcrc uses recent semiparametric identification results that allow for flexible functional forms and permit instruments that may be binary, discrete, or continuous. The ivcrc module also allows for the estimation of varying coefficients regressions, which are closely related in structure to the proposed IV estimator. We illustrate use of ivcrc by estimating the returns to education in the National Longitudinal Survey of Young Men.