On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables
نویسندگان
چکیده
منابع مشابه
On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables
In this paper we consider the asymptotic properties of the Instrumental Variables (IV) estimator of the parameters in a linear regression model with some random regressors, and other regressors that are dummy variables. The latter have the special property that the number of non-zero values is fixed, and does not increase with the sample size. We prove that the IV estimator of the coefficient v...
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Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger’s estimator. In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct. W...
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ژورنال
عنوان ژورنال: Journal of Quantitative Economics
سال: 2016
ISSN: 0971-1554,2364-1045
DOI: 10.1007/s40953-016-0042-7