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