Practical Considerations for Questionable IVs

Clarke, Damian and Matta, Benjamín (2017): Practical Considerations for Questionable IVs.

Abstract

This paper examines a number of techniques which allow for the construction of bounds estimates based on instrumental variables (IVs), even when the instruments are not valid. The plausexog and imperfectiv commands are introduced, which implement methods described by Conley et al. (2012) and Nevo and Rosen (2012b) in Stata. The performance of these bounds under a range of circumstances is examined, leading to a number of practical results related to the informativeness of the bounds in different circumstances.

• Item Type: MPRA Paper
• Language: English
• Keywords: IV, instrumental variables, exclusion restrictions, invalidity, plausibly exogenous, imperfect IVs
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C18 - Methodological Issues: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C36 - Instrumental Variables (IV) Estimation; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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