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Comparing IV with Structural Models: What Simple IV Can and Cannot Identify

Heckman, James J.; Urzua, Sergio - Institute for the Study of Labor (IZA) - 2009

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...

Persistent link: https://www.econbiz.de/10005015482

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the … presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … in terms of mean bias and MSE. …

Persistent link: https://www.econbiz.de/10011300710

Combining two consistent estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012

This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...

Persistent link: https://www.econbiz.de/10009766699

Replication to assess statistical adequacy

Owen, Dorian - 2018

"Statistical adequacy" is an important prerequisite for securing reliable inference in empirical modelling. This paper argues for more emphasis on replication that specifically assesses whether the results reported in empirical studies are based on statistically adequate models, i.e., models...

Persistent link: https://www.econbiz.de/10011917266

Testing the quantity-quality model of fertility : Estimation using unrestricted family size models

Mogstad, Magne; Wiswall, Matthew - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 157-192

We examine the relationship between child quantity and quality. Motivated by the theoretical ambiguity regarding the sign of the marginal effects of additional siblings on children’s outcomes, our empirical model allows for an unrestricted relationship between family size and child outcomes....

Persistent link: https://www.econbiz.de/10011798965

A comparison of bias approximations for the 2SLS estimator

Bun, Maurice J. G.; Windmeijer, Frank - 2010

We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous … regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios … regarding the number and strength of instruments.The resulting approximation encompasses existing bias approximations, which are …

Persistent link: https://www.econbiz.de/10010288373

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...

Persistent link: https://www.econbiz.de/10010276817

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2011

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

Persistent link: https://www.econbiz.de/10010282842

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10010282856

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