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

Stephen Hall, P. A. V. B. Swamy () and George Tavlas

No 14/19, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

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: C11 C13 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-ecm
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Journal Article: On the Interpretation of Instrumental Variables in the Presence of Specification Errors (2015)
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