On the Interpretation of Instrumental Variables in the Presence of Specification Errors
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (weak or strong) cannot exist.
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- Stephen Hall & P. Swamy & George Tavlas, 2012.
"Generalized cointegration: a new concept with an application to health expenditure and health outcomes,"
Springer, vol. 42(2), pages 603-618, April.
- Stephen Hall & P. A. V. B. Swamy & George S. Tavlas, 2011. "Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes," Discussion Papers in Economics 11/22, Department of Economics, University of Leicester.
- Xu Cheng & Zhipeng Liao, 2011. "Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments, Second Version," PIER Working Paper Archive 13-062, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 Oct 2013.
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- Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
- Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Pratt, John W. & Schlaifer, Robert, 1988. "On the interpretation and observation of laws," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 23-52.
- P. Swamy & George Tavlas, 2007. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 293-306, May.
- George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece.
- Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall. Full references (including those not matched with items on IDEAS)