Instrumental variables (IV) is a powerful tool for leveraging external (“exogenous”) variation to estimate the causal effects of otherwise confounded (“endogenous”) variables. This one-day workshop will introduce the basics of IV through different practical examples, formalize the requirements of a valid and powerful IV, and discuss the mechanics of the two-stage least squares (2SLS) estimator. Special focus will be paid on interpreting linear IV under heterogeneous treatment effects and recent advances in judge leniency designs, shift-share IV, and more. The course will include substantial group programming exercises, where different IV techniques will be illustrated in real-world applications.

Introduction

About

• Introduction

• Regression Review

  • Models vs. Estimands vs. Estimators
  • Regression Identification and Endogeneity

• Introduction to IV

  • Instrument Validity and Relevance
  • The 2SLS Estimator

Slides

Introduction

Readings

Angrist (1990)

Mostly Harmless Economics (excerpt)

My Lecture Notes

Understanding IV

About

• Where do (Good) Instruments Come From?

  • True Lotteries
  • Natural Experiments
  • Panel Data

• 2SLS Mechanics

  • Just-Identified IV
  • Overidentification

• Weak and Many IVs

  • Weak IV
  • Many IVs

Slides

Understanding IV

Readings

Angrist, Imbens, and Krueger (1999)

Angrist and Kureger (2001)

Lee, Moreira, McCrary, and Porter (2020)

Angrist and Kolesar (2022)

Bound, Jaeger, and Baker (1995)

My Lecture Notes

Angrist and Krueger (1991)

Buckles and Hungerman (2013)

Staiger and Stock (1997)

Angrist and Krueger (1992)

Flores and Lagunes (2007)

Stock and Yogo (2002)

Angrist and Krueger (1995)

Hudson, Hull, and Liebersohn (2017)

Abdulkadiroglu, Angrist, Hull, Pathak (2016)

Heterogeneous Effects

About

• The LATE Theorem

  • Potential Outcomes Setup
  • Theorem and Extensions

• Characterizing Compliers

  • Outcomes
  • Covariates

• Marginal Treatment Effects

  • Continuous Instruments
  • Discrete Instruments

Slides

Heterogeneous Effects

Readings

Abadie (2002)

Doyle (2007)

Abadie (2003)

Heckman (2000)

Abadie, Angrist, and Imbens (2002)

Heckman and Vytlicil (2005)

Angrist, Graddy, and Imbens (2000)

Hull (2020)

Angrist and Imbens (1994)

Imbens and Rubin (1997)

Angrist and Imbens (1995)

Kitagawa (2015)

Angrist, Imbens, and Rubin (1996)

Kline and Walters (2019)

Angrist, Pathak, and Walters (2013)

Kowalski (2022)

Arnold, Dobbie, and Hull (2021)

Mogstad, Santos, and Torgovitsky (2018)

Behaghel, Crepon, and Gurgand (2013)

Mogstad, Torgovitsky, and Walters (2021)

Blandhol, Bonney, Mogstad, and Torgovitsky (2022)

Sloczynski (2020)

Brinch, Mogstad, and Wiswall (2017)

Vytlacil (2002)

IV Frontiers

About

• Judge/Examiner IV

  • Approach
  • Cautions

• Shift-Share IV

  • Approach
  • Cautions

• Other Frontiers

  • Diff-in-diff IV
  • Recentered IV

Slides

IV Frontiers

Readings

Adao, Kolesar, and Morales (2019)

Evdokimov and Kolesar (2018)

Stevenson (2018)

Borusyak and Hull (2021)

Goldsmith-Pinkham, Sorkin, and Swift (2020)

Borusyak, Hull, and Jaravel (2022)

Kolesar (2013)

Conclusion

About

This is a short lecture concluding the Mixtape Session. Thanks for coming!

Slides

IV Frontiers