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
- Date
- Thursday 13 Nov 2025, 12:00 - 13:00
- Type
- Seminar
- Room
- ET-14
- Location
- Campus Woudestein
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
- More information
Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.
