Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions:
The validity of instrumental variables (IV) regression models depends crucially on fundamentally untestable exclusion restrictions. Typically exclusion restrictions are assumed to hold exactly in the relevant population, yet in many empirical applications there are reasonable prior grounds to doubt...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
The World Bank
2008
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| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 HTW01 FHI01 IOS01 Volltext |
| Zusammenfassung: | The validity of instrumental variables (IV) regression models depends crucially on fundamentally untestable exclusion restrictions. Typically exclusion restrictions are assumed to hold exactly in the relevant population, yet in many empirical applications there are reasonable prior grounds to doubt their literal truth. In this paper I show how to incorporate prior uncertainty about the validity of the exclusion restriction into linear IV models, and explore the consequences for inference. In particular I provide a mapping from prior uncertainty about the exclusion restriction into increased uncertainty about parameters of interest. Moderate prior uncertainty about exclusion restrictions can lead to a substantial loss of precision in estimates of structural parameters. This loss of precision is relatively more important in situations where IV estimates appear to be more precise, for example in larger samples or with stronger instruments. The author illustrates these points using several prominent recent empirical papers that use linear IV models |
| Beschreibung: | 1 Online-Ressource (42 Seiten)) |
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| spelling | Kraay, Aart Verfasser aut Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions Kraay, Aart Washington, D.C The World Bank 2008 1 Online-Ressource (42 Seiten)) txt rdacontent c rdamedia cr rdacarrier The validity of instrumental variables (IV) regression models depends crucially on fundamentally untestable exclusion restrictions. Typically exclusion restrictions are assumed to hold exactly in the relevant population, yet in many empirical applications there are reasonable prior grounds to doubt their literal truth. In this paper I show how to incorporate prior uncertainty about the validity of the exclusion restriction into linear IV models, and explore the consequences for inference. In particular I provide a mapping from prior uncertainty about the exclusion restriction into increased uncertainty about parameters of interest. Moderate prior uncertainty about exclusion restrictions can lead to a substantial loss of precision in estimates of structural parameters. This loss of precision is relatively more important in situations where IV estimates appear to be more precise, for example in larger samples or with stronger instruments. The author illustrates these points using several prominent recent empirical papers that use linear IV models Online-Ausg Access to Finance Benchmark Bilateral trade Consumers Currencies and Exchange Rates Econometrics Economic Theory & Research Finance and Financial Sector Development GDP GDP per capita Growth rate Human capital Macroeconomics Macroeconomics and Economic Growth Per capita incomes Property rights Statistical & Mathematical Sciences Kraay, Aart Sonstige oth Kraay, Aart Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-4632 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kraay, Aart Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions Access to Finance Benchmark Bilateral trade Consumers Currencies and Exchange Rates Econometrics Economic Theory & Research Finance and Financial Sector Development GDP GDP per capita Growth rate Human capital Macroeconomics Macroeconomics and Economic Growth Per capita incomes Property rights Statistical & Mathematical Sciences |
| title | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions |
| title_auth | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions |
| title_exact_search | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions |
| title_exact_search_txtP | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions |
| title_full | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions Kraay, Aart |
| title_fullStr | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions Kraay, Aart |
| title_full_unstemmed | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions Kraay, Aart |
| title_short | Instrumental Variables Regressions With Honestly Uncertain Exclusion Restrictions |
| title_sort | instrumental variables regressions with honestly uncertain exclusion restrictions |
| topic | Access to Finance Benchmark Bilateral trade Consumers Currencies and Exchange Rates Econometrics Economic Theory & Research Finance and Financial Sector Development GDP GDP per capita Growth rate Human capital Macroeconomics Macroeconomics and Economic Growth Per capita incomes Property rights Statistical & Mathematical Sciences |
| topic_facet | Access to Finance Benchmark Bilateral trade Consumers Currencies and Exchange Rates Econometrics Economic Theory & Research Finance and Financial Sector Development GDP GDP per capita Growth rate Human capital Macroeconomics Macroeconomics and Economic Growth Per capita incomes Property rights Statistical & Mathematical Sciences |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-4632 |
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