posted on 2010-03-02, 15:15authored byP. A. V. B. Swamy, George S. Tavlas, Stephen G. Hall
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 which are (insert space) both exogeneous and relevant. We argue that in general such instruments (weak or strong) cannot exist.