Instrumental variable estimation and persistence of the instuments
Προβολή/ Άνοιγμα
Θεματική επικεφαλίδα
Financial management ; Χρηματοοικονομική διοίκηση ; Regression analysis -- Graphic methods ; Οικονομετρικά υποδείγματα ; Econometric models ; Γραμμική ανάλυσηΠερίληψη
This paper investigates the behavior of the IV estimator under a specific regression model. The purpose is to propose certain measures for selecting a good instrument, beyond the classical measure which is the degree of correlation between the regressor and the instrument. The survey is based in the theoretical analysis of mathematical types that describe the behavior of the IV estimator - such as the asymptotic bias - and it includes the proof of the theoretical results using Monte Carlo methods.