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Thinking about instrumental variables (in Russian)

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Author Info

  • Christopher A. Sims

    (Princeton University, USA)

Abstract

We take a decision-theoretic view on the question of how to use instrumental variables and method of moments. Since prior beliefs play an inevitably strong role when instruments are possibly "weak", or when the number of instruments is large relative to the number of observations, it is important in these cases to report characteristics of the likelihood beyond the usual IV or ML estimates and their asymptotic (i.e. second-order local) approximate standard errors. IV and GMM appeal because of their legitimate claim to be convenient to compute in many cases, and a (spurious) claim that they can be justified with few "assumptions". We discuss some approaches to making such a claim more legitimately.

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File URL: http://quantile.ru/02/02-CS.pdf
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Bibliographic Info

Article provided by Quantile in its journal Quantile.

Volume (Year): (2007)
Issue (Month): 2 (March)
Pages: 83-94

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Handle: RePEc:qnt:quantl:y:2007:i:2:p:83-94

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Web page: http://quantile.ru/

Related research

Keywords: Bayesian approach; GMM; instrumental variables; weak instruments; instrument selection; entropy;

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Cited by:
  1. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.

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