On the structure of IV estimands

Isaiah Andrews

Journal of Econometrics, 2019, vol. 211, issue 1, 294-307

Abstract: When the overidentifying restrictions of the constant-effect linear instrumental variables model fail, common IV estimators converge to different probability limits. I characterize the estimands of two stage least squares, two step GMM, and limited information maximum likelihood as functions of the single-instrument estimands from the just-identified IV regressions which consider each instrument separately. The limited information maximum likelihood estimand is found to be discontinuous on a set of dimension equal to the number of instruments minus one, and to equal the full parameter space on a set of dimension equal to the number of instruments minus two.

Keywords: Instrumental variables; Misspecification (search for similar items in EconPapers)
JEL-codes: C13 C26 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:211:y:2019:i:1:p:294-307

DOI: 10.1016/j.jeconom.2018.12.017

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