Identification in Instrumental Variables Models: The Central Role of Abadie's Kappa
Abstract
We study instrumental variables models characterized by: (i) Unobserved heterogeneity consisting of potential outcomes and response types that describe how the instrument determines treatment choice; (ii) Conditional independence of the instrument and the unobserved heterogeneity; and (iii) Convex restrictions on the distribution of unobserved heterogeneity. We show certain causal parameters are identified in these models if and only if a version of the kappa of Abadie (2003) exists. Our identification results are constructive in yielding estimating moment conditions. Focusing on a leading special case, we develop asymptotically normal estimators based on a doubly robust version of these moment conditions.