Advanced Search
MyIDEAS: Login

Thinking about instrumental variables (in Russian)

Contents:

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://quantile.ru/02/02-CS.pdf
Download Restriction: no

Bibliographic Info

Article provided by Quantile in its journal Quantile.

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

as in new window
Handle: RePEc:qnt:quantl:y:2007:i:2:p:83-94

Contact details of provider:
Web page: http://quantile.ru/

Related research

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

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:qnt:quantl:y:2007:i:2:p:83-94

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stanislav Anatolyev).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.