Estimation of Heterogeneous Individual Treatment Effects with Endogenous Treatments

38 Pages Posted: 26 Oct 2016

See all articles by Qian Feng

Qian Feng

Department of Economics, University of Texas at Austin

Quang Vuong

New York University (NYU)

Haiqing Xu

Department of Economics, University of Texas at Austin

Date Written: October 23, 2016

Abstract

This paper estimates individual treatment effects in a triangular model with binary — valued endogenous treatments. Following the identification strategy established in Vuong and Xu (2015), we propose a two — stage estimation approach. First, we estimate the counterfactual outcome and hence the individual treatment effect (ITE) for every observational unit in the sample. Second, we estimate the density of individual treatment effects in the population. Our estimation method does not suffer from the ill — posed inverse problem associated with inverting a non — linear functional. Asymptotic properties of the proposed method are established. We study its finite sample properties in Monte Carlo experiments. We also illustrate our approach with an empirical application assessing the effects of 401(k) retirement programs on personal savings. Our results show that there exists a small but statistically significant proportion of individuals who experience negative effects, although the majority of ITEs is positive.

Keywords: Nonseparable Triangular Models, Binary Endogenous Variable, Counterfactual Mapping, Individual Treatment Effects, 401(K) Retirement Programs

JEL Classification: C01, C14, C31

Suggested Citation

Feng, Qian and Vuong, Quang and Xu, Haiqing, Estimation of Heterogeneous Individual Treatment Effects with Endogenous Treatments (October 23, 2016). Available at SSRN: https://ssrn.com/abstract=2858117 or http://dx.doi.org/10.2139/ssrn.2858117

Qian Feng

Department of Economics, University of Texas at Austin ( email )

Austin, TX
United States

Quang Vuong (Contact Author)

New York University (NYU) ( email )

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New York, NY 10003-711
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Haiqing Xu

Department of Economics, University of Texas at Austin ( email )

Austin, TX 78712
United States

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