中文摘要
含重复内生处理变量的工具变量模型在基于混合截面或短面板数据的实证研究中颇为流行。本文提出一种新的半参数方法,明确考虑两方面特征:1) 同期处理效应中的路径依赖;2) 过去处理带来的直接结转效应。我们证明,当上述任一新特征存在时,标准两阶段最小二乘估计量一般不再有效。我们将所提出的半参数估计与推断方法应用于重新审视 Acemoglu 等(2016)的经典研究。基于行业层面数据,我们发现中国进口竞争加剧对美国制造业就业的同期影响幅度取决于行业过去的进口暴露程度。特别是,20世纪90年代贸易冲击较大的行业在21世纪初往往受到同期贸易冲击更强的影响。
Abstract
Instrumental variable models with repeated endogenous treatments are popular in empirical research using pooled cross-sectional or short panel datasets. This paper proposes a novel semi-parametric approach that explicitly considers 1) path dependency in the contemporaneous treatment effect and 2) a direct carryover effect from past treatments. We demonstrate that when either of these new features is present, the standard two-stage least squares estimator is generally invalid. We apply the proposed semi-parametric estimation and inference approach to revisit the seminal work of Acemoglu et al. (2016). Using industry-level data, we find that the magnitude of contemporaneous impacts of increased Chinese import competition on US manufacturing employment depends on an industry’s past import exposure. In particular, industries with larger trade shocks in the 1990s tend to experience stronger impacts from contemporaneous trade shocks in the 2000s.