IDENTIFICATION WITH IMPERFECT INSTRUMENTS

• 成果类型: Article
• 署名作者: Nevo, Aviv; Rosen, Adam M.
• 署名单位: Northwestern University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00171
• 发表日期: 2012-08
• 页码: 659-671
• 关键词: confidence-intervals; variables; sensitivity; inference; sets

摘要

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead allow the instrumental variable to be correlated with the error term, but we assume the correlation between the instrumental variable and the error term has the same sign as the correlation between the endogenous regressor and the error term and that the instrumental variable is less correlated with the error term than is the endogenous regressor. Using these assumptions, we derive analytic bounds for the parameters. We demonstrate that the method can generate useful (set) estimates by using it to estimate demand for differentiated products.