Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model

doi:10.1007/s11425-014-4865-4

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	Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model
	Zhou YaHong 1; Wang LiMing 2; He XiaoDan 3
刊名	SCIENCE CHINA-MATHEMATICS
	2014-11
卷号	57 期号:11 页码:2415-2428
关键词	random-coefficient model endogenous variable model symmetry
ISSN号	1674-7283
DOI	10.1007/s11425-014-4865-4
英文摘要	This paper provides an estimation procedure for average treatment effect through a random coefficient dummy endogenous variable model. A leading example of the model is estimating the effect of a training program on earnings. The model is composed of two equations: an outcome equation and a decision equation. Given the linear restriction in outcome and decision equations, Chen (1999) provided a distribution-free estimation procedure under conditional symmetric error distributions. In this paper we extend Chen's estimator by relaxing the linear index into a nonparametric function, which greatly reduces the risk of model misspecification. A two-step approach is proposed: the first step uses a nonparametric regression estimator for the decision variable, and the second step uses an instrumental variables approach to estimate average treatment effect in the outcome equation. The proposed estimator is shown to be consistent and asymptotically normally distributed. Furthermore, we investigate the finite performance of our estimator by a Monte Carlo study and also use our estimator to study the return of college education in different periods of China. The estimates seem more reasonable than those of other commonly used estimators.
WOS研究方向	Mathematics
语种	英语
出版者	SCIENCE PRESS
WOS记录号	WOS:000343165800017
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1674]
专题	上海财经大学
通讯作者	Zhou YaHong
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Zhou YaHong,Wang LiMing,He XiaoDan. Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model[J]. SCIENCE CHINA-MATHEMATICS,2014,57(11):2415-2428.
APA	Zhou YaHong,Wang LiMing,&He XiaoDan.(2014).Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model.SCIENCE CHINA-MATHEMATICS,57(11),2415-2428.
MLA	Zhou YaHong,et al."Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model".SCIENCE CHINA-MATHEMATICS 57.11(2014):2415-2428.