Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - In: Journal of Econometrics 171 (2012) 2, pp. 237-250
This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid...