We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

We develop an “omitted variable bias” framework for sensitivity analysis of instrumental variable (IV) estimates that is immune to “weak instruments,” naturally handles multiple “side-effects” (violations of the exclusion restriction assumption) and “confounders” (violations of...

Instrumental variables (IV) are often used to provide exogenous variation in the impulse response analysis but the heterogeneous effects the IV may identify are rarely discussed. In microeconometrics, on the other hand, it is well understood that an IV identifies the local average treatment...

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...

We consider the instrument selection problem in instrumental variable regression model when there is a large set of instruments with potential invalidity. Existing methods for instrument selection are based on a priori assumptions of an instrument's validity. Moreover, existing approaches based...

We propose a procedure for testing simple hypotheses on a subset of the structural parameters in linear instrumental variables models. Our test is valid uniformly over a large class of distributions allowing for identification failure and heteroskedasticity. The large-sample distribution of our...

Lottery estimates suggest oversubscribed urban charter schools boost student achievement markedly. But these estimates needn't capture treatment effects for students who haven't applied to charter schools or for students attending charters for which demand is weak. This paper reports estimates...

This paper studies the averaging generalized method of moments (GMM) estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an...

We provide a simple survey of the literature on weak instruments, aimed at giving practical advice to applied researchers. It is well-known that 2SLS has poor properties if instruments are exogenous but “weak.” We clarify these properties, explain weak instrument tests, and examine how...