In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

We study how estimators that are used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present, then instrumenting consumption...

This paper shows that instrumental variables estimators currently in use, require strong but neglected auxiliary assumptions to be consistent in situations with partially missing instruments. We introduce an alternative instrumental variables estimator that does not require auxiliary assumptions.

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

The causal effect of retirement on health is studied using the Australian 1993 Age Pension reform to isolate exogenous variation in retirement status. Using instrumental variable methods we find that retirement has a positive impact on subjective and objective measures of health.

This paper proposes a simple algorithm for the numerical computation of the non parametric IV quantile estimation. This algorithm is based on the Landweber iterations for solving a nonlinear integral equation. The paper is illustrated by numerical simulations.

The nonparametric identification of the local average treatment effect (LATE) hinges on the satisfaction of three instrumental variable assumptions: (1) unconfounded assignment of the instrument, (2) no average direct effect of the instrument on the outcome within compliance types (exclusion...

This paper examines the Turkish wage curve using individual data from the Household Labor Force Survey including 26 NUTS-2 regions over the period 2005–2008. We find an unemployment elasticity of −0.099, with a higher elasticity for younger, less educated, less experienced and female workers.

In this paper we provide estimates of the effects of international transport costs on firms’ exports and disentangle the channels of these effects. In so doing, we use a unique dataset consisting of highly disaggregated transaction-level trade and transport cost data and, in order to account...

This paper considers three-dimensional panel data models with unobservable multiple interactive effects, which are potentially correlated with the covariates. We propose an iterated OLS (IOLS) approach for the estimation of the static model and an iterated GMM (IGMM) method for the dynamic...