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On the Interpretation of Instrumental Variables in the Presence of Specification Errors

P.A.V.B. Swamy (), George Tavlas () and Stephen Hall ()
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P.A.V.B. Swamy: Board of Governors of the Federal Reserve System (retired), Washington, DC, VA 22315, USA

Econometrics, 2015, vol. 3, issue 1, 1-10

Abstract: 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.

Keywords: instrumental variables; generalized method of moments; random coefficient models (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
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Working Paper: On the Interpretation of Instrumental Variables in the Presence of Specification Errors (2014) Downloads
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