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Thinking about instrumental variables (in Russian)

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Author Info
Christopher A. Sims (Princeton University, USA)

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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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Publisher Info
Article provided by Quantile in its journal Quantile.

Volume (Year): (2007)
Issue (Month): 2 (March)
Pages: 83-94
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:qnt:quantl:y:2007:i:2:p:83-94

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Web page: http://quantile.ru/

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

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research

Statistics
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This page was last updated on 2009-12-19.

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