Shapley Instruments

EI Seminar
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When multiple valid instrumental variables are available, researchers must decide which instruments to include in their model to achieve optimal finite sample performance. We propose a novel instrument selection method based on the Shapley value. Our approach is examined under two different settings.

Speaker
Giovanni Mellace
Date
Thursday 13 Nov 2025, 12:00 - 13:00
Type
Seminar
Room
ET-14
Location
Campus Woudestein
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In the first, there are many potentially weak instruments, and the goal is to select a subset that meets certain regularity conditions. In the second, we consider a heterogeneous treatment effect model and estimation of the Combined Compliers Local Average Treatment Effect (CC-LATE), where adding instruments entails a trade-off between improving precision and increasing the size of the Combined Compliers share.

See also

Pricing ultra-short-term volatility surfaces

Federico Bandi (Johns Hopkins University)
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More information

Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.

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