On the structure of IV estimands

被引:7
作者
Andrews, Isaiah [1 ]
机构
[1] Harvard Dept Econ, Littauer Ctr M18, Cambridge, MA 02138 USA
基金
美国国家科学基金会;
关键词
Instrumental variables; Misspecification; INSTRUMENTAL VARIABLES;
D O I
10.1016/j.jeconom.2018.12.017
中图分类号
F [经济];
学科分类号
02 ;
摘要
When the overidentifying restrictions of the constant-effect linear instrumental variables model fail, common IV estimators converge to different probability limits. I characterize the estimands of two stage least squares, two step GMM, and limited information maximum likelihood as functions of the single-instrument estimands from the just-identified IV regressions which consider each instrument separately. The limited information maximum likelihood estimand is found to be discontinuous on a set of dimension equal to the number of instruments minus one, and to equal the full parameter space on a set of dimension equal to the number of instruments minus two. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码:294 / 307
页数:14
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