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A guide to the world of instruments (in Russian)

Author

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  • Alexander Tsyplakov

    (Novosibirsk State University, Russia)

Abstract

The essay discusses reasons of correlatedness of explanatory variables and errors in regression applications, consequences of this correlatedness, and the method of instrumental variables aimed to resolve this problem.

Suggested Citation

  • Alexander Tsyplakov, 2007. "A guide to the world of instruments (in Russian)," Quantile, Quantile, issue 2, pages 21-47, March.
    • Handle: RePEc:qnt:quantl:y:2007:i:2:p:21-47
    as

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    File URL: http://quantile.ru/02/02-AT.pdf
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    References listed on IDEAS

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    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LP, vol. 3(1), pages 1-31, March.
    2. Joshua D. Angrist & Alan B. Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 69-85, Fall.
    3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    4. Ruud, Paul A., 2000. "An Introduction to Classical Econometric Theory," OUP Catalogue, Oxford University Press, number 9780195111644, Decembrie.
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    6. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    7. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    8. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
    9. Evans, William N & Froeb, Luke M & Werden, Gregory J, 1993. "Endogeneity in the Concentration-Price Relationship: Causes, Consequences, and Cures," Journal of Industrial Economics, Wiley Blackwell, vol. 41(4), pages 431-438, December.
    10. Cragg, John G. & Donald, Stephen G., 1993. "Testing Identifiability and Specification in Instrumental Variable Models," Econometric Theory, Cambridge University Press, vol. 9(2), pages 222-240, April.
    11. Jacob Mincer, 1958. "Investment in Human Capital and Personal Income Distribution," Journal of Political Economy, University of Chicago Press, vol. 66, pages 281-281.
    12. David M. Cutler & Edward L. Glaeser, 1997. "Are Ghettos Good or Bad?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(3), pages 827-872.
    13. Joshua Angrist & Alan Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Working Papers 834, Princeton University, Department of Economics, Industrial Relations Section..
    14. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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    Cited by:

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    2. Chepel, S. & Bondarenko, K., 2015. "Is the External Labor Migration an Economic Growth Factor: Econometric Analysis and Policy Implications for the CIS Countries," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 142-166.
    3. Tendetnik, Pavel & Clayton, Grant & Cathcart, Katy, 2018. "Education and nation-state fragility: Evidence from panel data analysis," International Journal of Educational Development, Elsevier, vol. 62(C), pages 17-26.

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