This paper shows that instrumental variables estimators currently in use, require strong but neglected auxiliary assumptions to be consistent in situations with partially missing instruments. We introduce an alternative instrumental variables estimator that does not require auxiliary assumptions.

This note presents a new solution to the classic problem with using hedonic price functions to recover demand curves. Unexpected changes in the composition of a differentiated product can generate instruments that support a simple reduced-form approach to demand estimation.

We study how estimators that are used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present, then instrumenting consumption...

In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

In any nonlinear “difference-in-differences” model with strictly monotonic transformation function, the treatment effect is the cross difference of the observed outcome minus the cross difference of the potential non-treatment outcome, which equals the incremental effect of the interaction...

This paper shows the inconsistency of three forms of 2SLS estimators to illustrate the specialty of the endogeneity problem in threshold regression.

This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

This paper proposes a simple method for testing whether non-compliance in experiments is ignorable, i.e., not jointly related to the treatment and the outcome. The approach consists of (i) regressing the outcome variable on a constant, the treatment, the assignment indicator, and the...