Instrumental Variables Estimation with Partially Missing Instruments

Magne Mogstad and Matthew Wiswall ()

No 4689, IZA Discussion Papers from IZA Network @ LISER

Abstract: We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the instrument is non-randomly missing, standard IV estimators require strong, auxiliary assumptions to be consistent. In many (quasi)natural experiments, the auxiliary assumptions are unlikely to hold. We therefore introduce alternative IV estimators that are robust to non-randomly missing instruments without auxiliary assumptions. A Monte-Carlo study illustrates our results.

Keywords: sub-sample estimation; sample selection; partially missing instruments; instrumental variables (search for similar items in EconPapers)
JEL-codes: C31 C34 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2010-01
New Economics Papers: this item is included in nep-ecm
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Published - published in: Economics Letters, 2012, 114 (2), 186-189

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Journal Article: Instrumental variables estimation with partially missing instruments (2012)
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