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Unbiased IV in Stata

Austin Nichols

London Stata Conference 2019 from Stata Users Group

Abstract: A well-known result is that exactly identified IV has no moments, including in the ideal case of an experimental design (that is, a randomized control trial with imperfect compliance). However, this result no longer holds when the sign of the first stage is known. I describe a Stata implementation of an unbiased estimator for instrumental-variable models with a single endogenous regressor where the sign of one or more first-stage coefficients is known (Andrews and Armstrong 2017) and its finite sample properties under alternative error structures.

Date: 2019-09-15
New Economics Papers: this item is included in nep-exp
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