Two-stage least squares with a randomly right censored outcome

2021/10/11 by Jad Beyhum, Beyhum, Jad
Economics, Econometrics and Finance · Mathematics · #Advanced Causal Inference Techniques #Statistical Methods and Inference #Survey Sampling and Estimation Techniques #econ.EM #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.2110.05107

arxiv created 2021/10/11 · arxiv updated 2021/10/12

Abstract

This note develops a simple two-stage least squares (2SLS) procedure to estimate the causal effect of some endogenous regressors on a randomly right censored outcome in the linear model. The proposal replaces the usual ordinary least squares regressions of the standard 2SLS by weighted least squares regressions. The weights correspond to the inverse probability of censoring. We show consistency and asymptotic normality of the estimator. The estimator exhibits good finite sample performances in simulations.

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