Improved Methods for Moment Restriction Models with Marginally Incompatible Data Combination and an Application to Two-sample Instrumental Variable Estimation

Heng Shu; Zhiqiang Tan

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arXiv · 1808.03786

Improved Methods for Moment Restriction Models with Marginally Incompatible Data Combination and an Application to Two-sample Instrumental Variable Estimation

Heng Shu·Zhiqiang Tan

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Abstract

Combining information from multiple samples is often needed in biomedical and economic studies, but the differences between these samples must be appropriately taken into account in the analysis of the combined data. We study estimation for moment restriction models with data combination from two samples under an ignorablility-type assumption but allowing for different marginal distributions of common variables between the two samples. Suppose that an outcome regression model and a propensity score model are specified. By leveraging the semiparametric efficiency theory, we derive an augmented inverse probability weighted (AIPW) estimator that is locally efficient and doubly robust with respect to the outcome regression and propensity score models. Furthermore, we develop calibrated regression and likelihood estimators that are not only locally efficient and doubly robust, but also intrinsically efficient in achieving smaller variances than the AIPW estimator when the propensity score model is correctly specified but the outcome regression model may be misspecified. As an important application, we study the two-sample instrumental variable problem and derive the corresponding estimators while allowing for incompatible distributions of common variables between the two samples. Finally, we provide a simulation study and an econometric application on public housing projects to demonstrate the superior performance of our improved estimators.

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BibTeX RIS

Heng Shu, Zhiqiang Tan. 2018-08-11. Improved Methods for Moment Restriction Models with Marginally Incompatible Data Combination and an Application to Two-sample Instrumental Variable Estimation. https://arxiv.org/abs/1808.03786

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