• Medientyp: E-Book
  • Titel: Instrumental Variables Regression with Weak Instruments
  • Beteiligte: Staiger, Douglas [Verfasser:in]; Stock, James H. [Sonstige Person, Familie und Körperschaft]
  • Körperschaft: National Bureau of Economic Research
  • Erschienen: Cambridge, Mass: National Bureau of Economic Research, January 1994
  • Erschienen in: NBER technical working paper series ; no. t0151
  • Umfang: 1 Online-Ressource
  • Sprache: Englisch
  • DOI: 10.3386/t0151
  • Identifikator:
  • Reproduktionsnotiz: Hardcopy version available to institutional subscribers
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  • Beschreibung: This paper develops asymptotic distribution theory for instrumental variable regression when the partial correlation between the instruments and a single included endogenous variable is weak, here modeled as local to zero. Asymptotic representations are provided for various instrumental variable statistics, including the two-stage least squares (TSLS) and limited information maximum- likelihood (LIML) estimators and their t-statistics. The asymptotic distributions are found to provide good approximations to sampling distributions with just 20 observations per instrument. Even in large samples, TSLS can be badly biased, but LIML is, in many cases, approximately median unbiased. The theory suggests concrete quantitative guidelines for applied work. These guidelines help to interpret Angrist and Krueger's (1991) estimates of the returns to education: whereas TSLS estimates with many instruments approach the OLS estimate of 6%, the more reliable LIML and TSLS estimates with fewer instruments fall between 8% and 10%, with a typical confidence interval of (6%, 14%)
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