On the interpretation of instrumental variables in the presence of specification errors

On the interpretation of instrumental variables in the presence of specification errors

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant...

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Veröffentlicht in:Econometrics 2015-03, Vol.3 (1), p.55-64
Hauptverfasser: Swamy, P. A. V. B, Tavlas, George S, Hall, Stephen G
Format: Artikel
Sprache:eng
Schlagworte:
Econometrics
Estimating techniques
Generalized method of moments
instrumental variables
random coefficient models
Random variables
Random walk theory
Studies
Variables
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Zusammenfassung:The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (weak or strong) cannot exist.
ISSN:2225-1146
2225-1146
DOI:10.3390/econometrics3010055