Samuele Centorrino, Aman Ullah, Jing Xue
arXiv 15 Nov 2019 · Econometrics
arXiv:1911.06857 · PDF · DOI · OpenAlex · Extracted main text
We study a linear random coefficient model where slope parameters may be correlated with some continuous covariates. Such a model specification may occur in empirical research, for instance, when quantifying the effect of a continuous treatment observed at two time periods. We show one can carry identification and estimation without instruments. We propose a semiparametric estimator of average partial effects and of average treatment effects on the treated. We showcase the small sample properties of our estimator in an extensive simulation study. Among other things, we reveal that it compares favorably with a control function estimator. We conclude with an application to the effect of malaria eradication on economic development in Colombia.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lee, Y. K., Mammen, E., and Park, B. U (2012) Flexible generalized varying coefficient regression models | 0.928 | 4 | 3 | 100% |
| 2 | Ahmad, I., Leelahanon, S., and Li, Q (2005) Efficient estimation of a semiparametric partially linear varying coefficient model | 0.894 | 7 | 3 | 71% |
| 3 | Bleakley, H (2010) Malaria Eradication in the Americas: A Retrospective Analysis of Childhood Exposure | 0.874 | 8 | 2 | 100% |
| 4 | Newey, W. K (1997) Convergence rates and asymptotic normality for series estimators | 0.843 | 5 | 3 | 60% |
| 5 | Heckman, J. and Vytlacil, E (1998) Instrumental Variables Methods for the Correlated Random Coefficient Model: Estimating the Average Rate of Return to Schooling W… | 0.843 | 3 | 3 | 100% |
| 6 | Fan, J. and Huang, T (2005) Profile likelihood inferences on semiparametric varying-coefficient partially linear models | 0.811 | 4 | 2 | 100% |
| 7 | Belloni, A., Chernozhukov, V., Chetverikov, D., and Kato, K (2015) Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results | 0.737 | 10 | 2 | 60% |
| 8 | Chen, X (2007) Large Sample Sieve Estimation of Semi-Nonparametric Models | 0.644 | 2 | 2 | 100% |
| 9 | Fan, J. and Zhang, W (1999) Statistical Estimation in Varying Coefficient Models | 0.644 | 2 | 2 | 100% |
| 10 | Hastie, T. and Tibshirani, R (1993) Varying-Coefficient Models | 0.644 | 2 | 2 | 100% |
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