econometrics-03-00055.pdf (229.81 kB)
On the interpretation of instrumental variables in the presence of specification error
journal contribution
posted on 2015-04-24, 15:58 authored by Stephen G. Hall, G. S. Tavlas, P. A. V. B. SwamyThe 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.
History
Citation
Econometrics 2015, 3(1), 55-64Author affiliation
/Organisation/COLLEGE OF SOCIAL SCIENCE/Department of EconomicsVersion
- VoR (Version of Record)