Identification with possibly invalid IVs (SSRN) (arXiv

joint with Jad Beyhum

Abstract: This paper proposes a novel identification strategy relying on quasi-instrumental variables (quasi-IVs). A quasi-IV is a relevant but possibly invalid IV because it is not completely exogenous and/or excluded. We show that a variety of models with discrete or continuous endogenous treatment, which are usually identified with an IV - quantile models with rank invariance additive models with homogenous treatment effects, and local average treatment effect models - can be identified under the joint relevance of two complementary quasi-IVs instead. To achieve identification we complement one excluded but possibly endogenous quasi-IV (e.g., "relevant proxies'' such as previous treatment choice) with one exogenous (conditional on the excluded quasi-IV) but possibly included quasi-IV (e.g., random assignment or exogenous market shocks). In practice, our identification strategy should be attractive since complementary quasi-IVs should be easier to find than standard IVs. Our approach also holds if any of the two quasi-IVs turns out to be a valid IV.

Don't (fully) exclude me, it's not necessary! Identification with semi-IVs (SSRN) (arXiv)
Presented at: Duke Microeconometrics Class (may 2023), NESG 2023, Bristol Econometric Study Group 2023, ESWM 2023, ASSA 2024

Abstract: This paper proposes a novel tool to nonparametrically identify models with a discrete endogenous variable or treatment: semi-instrumental variables (semi-IVs). A semi-IV is a variable that is relevant but only partially excluded from the potential outcomes, i.e., excluded from at least one, but not necessarily all, potential outcome equations. It follows that standard instrumental variables (IVs), which are fully excluded from all the potential outcomes, are a special (extreme) case of semi-IVs. I show that full exclusion is stronger than necessary because the same objects that are usually identified with an IV (Imbens and Angrist, 1994; Heckman and Vytlacil, 2005; Chernozhukov and Hansen, 2005) can be identified with several semi-IVs instead, provided there is (at least) one semi-IV excluded from each potential outcome. For applied work, tackling endogeneity with semi-IVs instead of IVs should be an attractive alternative, since semi-IVs are easier to find: most selection-specific costs or benefits can be valid semi-IVs, for example. The paper also provides a simple semi-IV GMM estimator for models with homogenous treatment effects and uses it to estimate the returns to education.

Discrete-Continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation (SSRN

Presented at: DSE 2021, ESEM 2021

Abstract: This paper develops a general framework for models and games, static or dynamic, in which individuals simultaneously make both discrete and continuous choices. The framework incorporates a wide range of unobserved heterogeneity. I show that such models are nonparametrically identified. Based on constructive identification arguments, I build a novel two-step estimation method in the lineage of Hotz and Miller (1993) and Arcidiacono and Miller (2011) but extended to simultaneous discrete-continuous choice. In the first step, I recover the (type-dependent) optimal choices with an expectation-maximization algorithm. In the second step, I estimate the primitives of the model taking the estimated optimal choices as given. The method is especially attractive for complex dynamic models because it significantly reduces the computational burden associated with their estimation compared to alternative full-solution methods.

Imperfect information, Learning and Housing Market Dynamics (pdf)
Best Phd student paper award IAAE 2018

Abstract: This paper examines the decision problem of a homeowner who maximizes her expected profit from the sale of her property when market conditions are uncertain. Using a large dataset of real estate transactions in Pennsylvania between 2011 and 2014, I verify several stylized facts about the housing market. I develop a dynamic search model of the home-selling problem in which the homeowner learns about demand in a Bayesian way. I estimate the model and find that learning, especially the downward adjustment of the beliefs of sellers facing low demand, explains some of the key features of the housing data, such as the decreasing list price overtime and time on the market. By comparing with a perfect information benchmark, I derive an unexpected result: the value of information is not always positive. Indeed, an imperfectly informed seller facing low demand can obtain a better outcome than her perfectly informed counterpart thanks to a delusively stronger bargaining position.

Housing Prices Propagation: A Theory of Spatial Interactions 

joint with Guillaume Chapelle, Jean-Benoît Eyméoud and Etienne Wasmer

Abstract: Price-to-rent ratios in the housing market vary a lot in time and space, and this cannot be explained solely by differences in local discount rates or rent growth differences. We study a variant of asset pricing equations for housing markets that include a price gradient in space, analogous to the transport equation in physics. The rationale for it is the existence of spatial search frictions for housing. A parametrization, backed by data, implies that a 10% increase in the price of an adjacent city raises the price of the city by approximately 0.05%. These effects cumulate over time and space and lead to a 15% increase in prices in the periphery after 30 years. More complex asset price equations such as heat diffusion equations are also derived from the search friction model and briefly discussed but second order terms are not found in the data. 


Dynamics of Households’ Consumption and Housing Decisions - joint with Thierry Magnac

Housing-market Matching, Employment and Regional Mobility - joint with Alexandre Gaillard


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