Publication: A simple and robust estimator for linear regression models with strictly exogenous instruments
dc.affiliation.dpto | UC3M. Departamento de EconomÃa | es |
dc.contributor.author | Escanciano, Juan Carlos | |
dc.date.accessioned | 2022-06-13T15:40:14Z | |
dc.date.available | 2022-06-13T15:40:14Z | |
dc.date.issued | 2018-02-01 | |
dc.description.abstract | In this paper, I investigate the estimation of linear regression models with strictly exogenous instruments under minimal identifying assumptions. I introduce a uniformly (in the data¿generating process) consistent estimator under nearly minimal identifying assumptions. The proposed estimator, called the integrated instrumental variables (IIV) estimator, is a simple weighted least¿squares estimator. It does not require the choice of a bandwidth or tuning parameter, or the selection of a finite set of instruments. Thus, the estimator is extremely simple to implement. Monte Carlo evidence supports the theoretical claims and suggests that the IIV estimator is a robust complement to optimal instrumental variables in finite samples. In an application with quarterly UK data, the IIV estimator estimates a positive and significant elasticity of intertemporal substitution and an equally sensible estimate for its reciprocal, in sharp contrast to instrumental variables methods that fail to identify these parameters. | en |
dc.identifier.bibliographicCitation | Escanciano, J. C. (2017). A simple and robust estimator for linear regression models with strictly exogenous instruments. The Econometrics Journal, 21 (1), pp. 36-54. | es |
dc.identifier.doi | https://doi.org/10.1111/ectj.12087 | |
dc.identifier.issn | 1368-4221 | |
dc.identifier.publicationfirstpage | 36 | es |
dc.identifier.publicationissue | 1 | es |
dc.identifier.publicationlastpage | 54 | es |
dc.identifier.publicationtitle | Econometrics Journal | en |
dc.identifier.publicationvolume | 21 | es |
dc.identifier.uri | https://hdl.handle.net/10016/35094 | |
dc.identifier.uxxi | AR/0000029576 | |
dc.language.iso | eng | es |
dc.publisher | Oxford University Press | en |
dc.rights | © 2017 Royal Economic Society | en |
dc.rights.accessRights | open access | en |
dc.subject.eciencia | EconomÃa | es |
dc.subject.jel | C13 | |
dc.subject.jel | C26 | |
dc.subject.other | Uniform identification | en |
dc.subject.other | Instrumental variables | en |
dc.subject.other | Weak instruments | en |
dc.subject.other | Uniform inference | en |
dc.subject.other | Intertemporal Elasticity Of Substitution | en |
dc.title | A simple and robust estimator for linear regression models with strictly exogenous instruments | en |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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