scholarly journals Cross-sectional averaging and instrumental variable estimation with many weak instruments

2010 ◽  
Vol 108 (1) ◽  
pp. 36-39 ◽  
Author(s):  
George Kapetanios ◽  
Massimiliano Marcellino
Keyword(s):  
Instrumental Variable ◽  
Cross Sectional ◽  
Weak Instruments ◽  
Instrumental Variable Estimation

scholarly journals Avoiding Invalid Instruments and Coping with Weak Instruments

2006 ◽  
Vol 20 (4) ◽  
pp. 111-132 ◽  
Author(s):  
Michael P Murray
Keyword(s):  
Instrumental Variable ◽  
Ordinary Least Squares ◽  
Paper Briefly ◽  
Weak Instruments ◽  
Instrumental Variable Estimation ◽  
Invalid Instruments ◽  
Valid Instrument ◽  
Disturbance Term ◽  
And Coping ◽  
Instrumental Variable Estimator

Archimedes said, “Give me the place to stand, and a lever long enough, and I will move the Earth.” Economists have their own powerful lever: the instrumental variable estimator. The instrumental variable estimator can avoid the bias that ordinary least squares suffers when an explanatory variable in a regression is correlated with the regression's disturbance term. But, like Archimedes' lever, instrumental variable estimation requires both a valid instrument on which to stand and an instrument that isn't too short (or “too weak”). This paper briefly reviews instrumental variable estimation, discusses classic strategies for avoiding invalid instruments (instruments themselves correlated with the regression's disturbances), and describes recently developed strategies for coping with weak instruments (instruments only weakly correlated with the offending explanator).

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