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

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journal contribution
posted on 24.04.2015, 15:58 by Stephen G. Hall, G. S. Tavlas, P. A. V. B. Swamy
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.

History

Citation

Econometrics 2015, 3(1), 55-64

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCE/Department of Economics

Version

VoR (Version of Record)

Published in

Econometrics 2015

Publisher

MDPI

issn

2225-1146

eissn

2225-1146

Copyright date

2015

Available date

24/04/2015

Publisher version

http://www.mdpi.com/2225-1146/3/1/55

Notes

JEL classification: C11; C13

Book series

University of Leicester Department of Economics Working Paper;14/19

Language

en