Policy Evaluation with Multiple Instrumental Variables

Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments

In this paper we obtain a consistent estimator when there exist some measurement errors and multicollinearity in the instrumental variables in a two stage least square estimation of parameters. We investigate the asymptotic distribution of the proposed estimator and discuss its properties using some theoretical proofs and a simulation study. A real numerical application is also provided for mor...

Estimation with Many Instrumental Variables∗

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker (1994) to nonnormal disturbances, that adjust for many instruments. We find that this adujstment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors ...

Ecological Inferencewith Instrumental Variables

This note observes that instrumental variables techniques are useful not only for estimating causal effects, but that they simultaneously solve the ecological inference problem. ∗Correspondence can be addressed to the author at MEDS Department, Kellogg School of Management, 2001 Sheridan Rd, Evanston, IL 60208, or by email: [email protected]. The ecological inference problem i...

Mediating Instrumental Variables

Averaged Instrumental Variables Estimators

We develop averaged instrumental variables estimators as a way to deal with many weak instruments. We propose a weighted average of the preliminary k-class estimators, where each estimator is obtained using different subsets of the available instrumental variables. The averaged estimators are shown to be consistent and to satisfy asymptotic normality. Furthermore, its approximate mean squared e...