Comment published on 18 July 2017,
Econometrics 2017, 5(3), 31
Reply published on 19 July 2017,
Econometrics 2017, 5(3), 32
On the Interpretation of Instrumental Variables in the Presence of Specification Errors
Board of Governors of the Federal Reserve System (retired), Washington, DC, VA 22315, USA
Bank of Greece, 21 El, Venizelos Ave, 102 50 Athens, Greece
Department of Economics, University of Leicester, Leicester, LE1 7RH, UK
Author to whom correspondence should be addressed.
Academic Editor: Kerry Patterson
Received: 7 October 2014 / Revised: 7 January 2015 / Accepted: 15 January 2015 / Published: 29 January 2015
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (weak or strong) cannot exist.
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MDPI and ACS Style
Swamy, P.; Tavlas, G.S.; Hall, S.G. On the Interpretation of Instrumental Variables in the Presence of Specification Errors. Econometrics 2015, 3, 55-64.
Swamy P, Tavlas GS, Hall SG. On the Interpretation of Instrumental Variables in the Presence of Specification Errors. Econometrics. 2015; 3(1):55-64.
Swamy, P.A.V.B.; Tavlas, George S.; Hall, Stephen G. 2015. "On the Interpretation of Instrumental Variables in the Presence of Specification Errors." Econometrics 3, no. 1: 55-64.
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