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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-01-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/3/1/55 |
| _version_ | 1818034628039016448 |
|---|---|
| author | P.A.V.B. Swamy George S. Tavlas Stephen G. Hall |
| author_facet | P.A.V.B. Swamy George S. Tavlas Stephen G. Hall |
| author_sort | P.A.V.B. Swamy |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-10T06:42:11Z |
| format | Article |
| id | doaj.art-101c693d0c0a49f6b63d992d322d69c6 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-12-10T06:42:11Z |
| publishDate | 2015-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-101c693d0c0a49f6b63d992d322d69c62022-12-22T01:58:45ZengMDPI AGEconometrics2225-11462015-01-0131556410.3390/econometrics3010055econometrics3010055On the Interpretation of Instrumental Variables in the Presence of Specification ErrorsP.A.V.B. Swamy0George S. Tavlas1Stephen G. Hall2Board of Governors of the Federal Reserve System (retired), Washington, DC, VA 22315, USABank of Greece, 21 El, Venizelos Ave, 102 50 Athens, GreeceBank of Greece, 21 El, Venizelos Ave, 102 50 Athens, GreeceThe 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.http://www.mdpi.com/2225-1146/3/1/55instrumental variablesgeneralized method of momentsrandom coefficient models |
| spellingShingle | P.A.V.B. Swamy George S. Tavlas Stephen G. Hall On the Interpretation of Instrumental Variables in the Presence of Specification Errors Econometrics instrumental variables generalized method of moments random coefficient models |
| title | On the Interpretation of Instrumental Variables in the Presence of Specification Errors |
| title_full | On the Interpretation of Instrumental Variables in the Presence of Specification Errors |
| title_fullStr | On the Interpretation of Instrumental Variables in the Presence of Specification Errors |
| title_full_unstemmed | On the Interpretation of Instrumental Variables in the Presence of Specification Errors |
| title_short | On the Interpretation of Instrumental Variables in the Presence of Specification Errors |
| title_sort | on the interpretation of instrumental variables in the presence of specification errors |
| topic | instrumental variables generalized method of moments random coefficient models |
| url | http://www.mdpi.com/2225-1146/3/1/55 |
| work_keys_str_mv | AT pavbswamy ontheinterpretationofinstrumentalvariablesinthepresenceofspecificationerrors AT georgestavlas ontheinterpretationofinstrumentalvariablesinthepresenceofspecificationerrors AT stephenghall ontheinterpretationofinstrumentalvariablesinthepresenceofspecificationerrors |