Publication:
A simple and robust estimator for linear regression models with strictly exogenous instruments

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscanciano, Juan Carlos
dc.date.accessioned2022-06-13T15:40:14Z
dc.date.available2022-06-13T15:40:14Z
dc.date.issued2018-02-01
dc.description.abstractIn 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.bibliographicCitationEscanciano, 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.doihttps://doi.org/10.1111/ectj.12087
dc.identifier.issn1368-4221
dc.identifier.publicationfirstpage36es
dc.identifier.publicationissue1es
dc.identifier.publicationlastpage54es
dc.identifier.publicationtitleEconometrics Journalen
dc.identifier.publicationvolume21es
dc.identifier.urihttps://hdl.handle.net/10016/35094
dc.identifier.uxxiAR/0000029576
dc.language.isoenges
dc.publisherOxford University Pressen
dc.rights© 2017 Royal Economic Societyen
dc.rights.accessRightsopen accessen
dc.subject.ecienciaEconomíaes
dc.subject.jelC13
dc.subject.jelC26
dc.subject.otherUniform identificationen
dc.subject.otherInstrumental variablesen
dc.subject.otherWeak instrumentsen
dc.subject.otherUniform inferenceen
dc.subject.otherIntertemporal Elasticity Of Substitutionen
dc.titleA simple and robust estimator for linear regression models with strictly exogenous instrumentsen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
estimator_EJ_2017_ps.pdf
Size:
744.07 KB
Format:
Adobe Portable Document Format
Download
Collections
DE - Artículos de Revistas