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Comment published on 18 July 2017, see Econometrics 2017, 5(3), 31.

Reply published on 19 July 2017, see Econometrics 2017, 5(3), 32.

Open AccessArticle
Econometrics 2015, 3(1), 55-64; doi:10.3390/econometrics3010055

On the Interpretation of Instrumental Variables in the Presence of Specification Errors

1
Board of Governors of the Federal Reserve System (retired), Washington, DC, VA 22315, USA
2
Bank of Greece, 21 El, Venizelos Ave, 102 50 Athens, Greece
3
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
View Full-Text   |   Download PDF [230 KB, uploaded 29 January 2015]

Abstract

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. View Full-Text
Keywords: instrumental variables; generalized method of moments; random coefficient models instrumental variables; generalized method of moments; random coefficient models
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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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.

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