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A non-technical guide to instrumental variables and regressor-error dependencies (in Russian)

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  • Peter Ebbes

    (Penn State University, USA)

Abstract

We provide a non-technical summary of most of the recent results that have appeared in the econometric literature on instrumental variables estimation for the linear regression model. Standard inferential methods, such as OLS, are biased and inconsistent when the regressors are correlated with the error term. Instrumental variables methods were developed to overcome this problem, but finding instruments of good quality is cumbersome in any given situation and empirical researchers are often confronted with weak instruments. We review most of the recent studies on weak instruments and point to several methods that have been proposed to deal with such instruments, including "frugal" IV alternatives that do not rely on observed instruments to identify the regression parameters in presence of regressor-error dependencies.

Suggested Citation

  • Peter Ebbes, 2007. "A non-technical guide to instrumental variables and regressor-error dependencies (in Russian)," Quantile, Quantile, issue 2, pages 3-20, March.
    • Handle: RePEc:qnt:quantl:y:2007:i:2:p:3-20
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    2. Ibragimov Marat & Jovlon Karimov & Elena Permyakova, 2013. "Unemployment and output dynamics in CIS countries: Okun's law revisited," EERC Working Paper Series 13/04e, EERC Research Network, Russia and CIS.
    3. Yana Roshchina, 2013. "To drink or not to drink: the microeconomic analysis of alcohol consumption in Russia in 2006-2010," HSE Working papers WP BRP 20/SOC/2013, National Research University Higher School of Economics.
    4. Gadiy, L. & Dzhaokhadze, E. & Kiyutsevskaya, A. & Chembulatova, M., 2020. "Price and financial stability: Is there a contradiction between these goals of the Bank of Russia?," Journal of the New Economic Association, New Economic Association, vol. 47(3), pages 67-83.
    5. Kim, Taeyoung & Cho, Seong-Hoon & Larson, Eric R. & Armsworth, Paul R., 2013. "The Impacts of Protected Area Size on Land Acquisition Costs for Conservation," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151271, Agricultural and Applied Economics Association.
    6. Kim, Taeyoung & Cho, Seong-Hoon & Larson, Eric R. & Armsworth, Paul R., 2014. "Protected area acquisition costs show economies of scale with area," Ecological Economics, Elsevier, vol. 107(C), pages 122-132.
    7. Arkhipova, Marina & Egorov, Alexey & Sirotin, Viacheslav, 2017. "Returns to schooling in Russia and Ukraine: Comparative analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 47, pages 100-122.

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