Title: Using instrumental variables techniques in economics and finance
Abstract: I will discuss the usefulness of instrumental variables (IV) techniques in addressing research questions in economics and finance. IV methods provide workable solutions to problems of endogeneity, measurement error and proxy variables, but they are easily misused. I will present a wide array of diagnostic techniques that should be employed to validate the use of IV in a particular context. I will also discuss the advantages of employing the Generalized Method of Moments form of IV (IV-GMM) and the Continuously Updated Estimator (GMM-CUE), and I will display some newly developed code that efficiently employs Stata's Mata programming language to implement the GMM-CUE.
Publication Year: 2008
Publication Date: 2008-07-03
Language: en
Type: preprint
Access and Citation
Cited By Count: 6
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot