On the interpretation of instrumental variables in the presence of specification errors

P. A. V. B. Swamy, George S. Tavlas and Stephen G. Hall

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (weak or strong) cannot exist.

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Year of publication:	2015
Authors:	Swamy, Paravastu A. V. B. ; Tavlas, George S. ; Hall, Stephen G.
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 3.2015, 1, p. 55-64
Subject:	instrumental variables \| generalized method of moments \| random coefficient models \| IV-Schätzung \| Instrumental variables \| Schätztheorie \| Estimation theory \| Momentenmethode \| Method of moments