Ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model

29 Pages Posted: 17 Jun 2020

See all articles by David Benson

David Benson

Board of Governors of the Federal Reserve System

Matthew Masten

Duke University - Department of Economics

Alexander Torgovitsky

University of Chicago

Date Written: June, 2020

Abstract

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.

Keywords: ivregress, Instrumental variables, Correlated random coefficients, Heterogeneous treatment effects, Varying coefficient models, Returns to schooling

JEL Classification: C14, C26, C51, I26

Suggested Citation

Benson, David and Masten, Matthew and Torgovitsky, Alexander, Ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model (June, 2020). FEDS Working Paper No. 2020-046R1, Available at SSRN: https://ssrn.com/abstract=3629594 or http://dx.doi.org/10.17016/FEDS.2020.046r1

David Benson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Matthew Masten

Duke University - Department of Economics ( email )

Durham, NC
United States

HOME PAGE: http://www.mattmasten.com

Alexander Torgovitsky

University of Chicago ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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