The Stata Journal Promoting communications on statistics and Stata · 2018 · 115 citations · 23 references
Social SciencesEconomicsEconometricsMathematical EconomicsStatisticsEconomic AnalysisEstimation TheoryInstrumental VariablesStatistical InferenceInstrumental Variable AnalysisInstrumental Variables EstimationInstrumental Variables RegressionWeak InstrumentsWeak Instruments Robust Inference
In this article, we examine several techniques that allow for the construction of bounds estimates based on instrumental variables, even when the instruments are not valid. We introduce the plausexog and imperfectiv commands, which implement methods described by Conley, Hansen, and Rossi (2012, Review of Economics and Statistics 94: 260–272) and Nevo and Rosen (2012b, Review of Economics and Statistics 94: 659–671). We examine the performance of these bounds under a range of circumstances, which leads to several practical results related to the informativeness of the bounds in different situations.
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Large Sample Properties of Generalized Method of Moments Estimators
Lars Peter Hansen · Econometrica · 1982 · 13.9K citations
American Economic Review · 2012 · 6.8K citations
John Bound, David A. Jaeger, Regina Baker · Journal of the American Statistical Association · 1995 · 3.7K citations
The Estimation of Economic Relationships using Instrumental Variables
J. D. Sargan · Econometrica · 1958 · 3.4K citations