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Practical considerations for questionable IVs

Author

Listed:
  • Damian Clarke

    (Universidad de Santiago de Chile)

  • Benjamín Matta

    (Universidad de Santiago de Chile)

Abstract

In this article, we examine several techniques that allow for the con- struction of bounds estimates based on instrumental variables, even when the instruments are not valid. We introduce the plausexog and imperfectiv com- mands, which implement methods described by Conley, Hansen, and Rossi (2012, Review of Economics and Statistics 94: 260–272) and Nevo and Rosen (2012b, Review of Economics and Statistics 94: 659–671). We examine the performance of these bounds under a range of circumstances, which leads to several practical results related to the informativeness of the bounds in different situations.

Suggested Citation

  • Damian Clarke & Benjamín Matta, 2018. "Practical considerations for questionable IVs," Stata Journal, StataCorp LLC, vol. 18(3), pages 663-691, September.
    • Handle: RePEc:tsj:stataj:y:18:y:2018:i:3:p:663-691
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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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