全球智库信息集成服务系统(G2TT): The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/t0069
来源ID	Technical Working Paper 0069
	The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One
	Charles R. Nelson; Richard Startz
发表日期	1988-09-01
出版年	1988
语种	英语
摘要	When the instrumental variable is a poor one, in the sense of being weakly correlated with the variable it proxies, the small sample distribution of the IV estimator is concentrated around a value that is inversely related to the feedback in the system and which is often further from the true value than is the plim of OLS. The sample variance of residuals similarly becomes concentrated around a value which reflects feedback and not the variance of the disturbance. The distribution of the t-ratio reflects both of these effects, stronger feedback producing larger t-ratios. Thus, in situations where OLS is badly biased, a poor instrument will lead to spurious inferences under IV estimation with high probability, and generally perform worse than OLS.
主题	Econometrics
URL	https://www.nber.org/papers/t0069
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/559957
推荐引用方式 GB/T 7714	Charles R. Nelson,Richard Startz. The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One. 1988.