Econometrics Seminar: Endong Wang, University of Mannheim

Speaker: Endong Wang, University of Mannheim

Website: www.endongwang.com

Title: Hedging out the HEDGE Bias: Identifying Dynamic Partial-Equilibrium Effects with Panel LP-IV" (joint with Ren Zhang, Texas State University)

Abstract: This paper develops a heterogeneous-exposure local-projection instrumental-variables (HELP-IV) framework for identifying dynamic partial-equilibrium effects in cross-sectional exposure designs. The framework accommodates correlation between treatment and confounder exposures, as well as feedback from confounding aggregates to the treatment, both of which can bias conventional two-way fixed-effects estimates. HELP-IV addresses these biases by jointly instrumenting the treatment and confounding paths, thereby imposing the same fixed-path experiment on the outcome response and the treatment first stage. To broaden its empirical applicability, we generalize the framework to allow for multiple exposure margins, multiple confounding aggregates, forward-looking settings, and transformed treatment-outcome moments. We apply the framework in two applications: the regional fiscal multiplier and the regional employment effect of stock-market wealth.

Host: Edoardo Zanelli

Organisers: Stefán Guðmundsson and Chen Huang