| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w29417
|
| 来源ID | Working Paper 29417
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| One Instrument to Rule Them All: The Bias and Coverage of Just-ID IV |
| Joshua Angrist; Michal Kolesár
|
| 发表日期 | 2021-11-01
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| 出版年 | 2021
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| 语种 | 英语
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| 摘要 | We revisit the finite-sample behavior of just-identified instrumental variables (IV) estimators, arguing that in most microeconometric applications, just-identified IV bias is negligible and the usual inference strategies likely reliable. Three widely-cited applications are used to explain why this is so. We then consider pretesting strategies of the form t₁ > c, where t₁ is the first-stage t-statistic, and the first-stage sign is given. Although pervasive in empirical practice, pretesting on the first-stage F-statistic exacerbates bias and distorts inference. We show, however, that median bias is both minimized and roughly halved by setting c = 0, that is by screening on the sign of the estimated first stage. This bias reduction is a free lunch: conventional confidence interval coverage is unchanged by screening on the estimated first-stage sign. To the extent that IV analysts sign-screen already, these results strengthen the case for a sanguine view of the finite-sample behavior of just-ID IV. |
| 主题 | Econometrics
; Estimation Methods
; Labor Economics
|
| URL | https://www.nber.org/papers/w29417
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587091
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推荐引用方式
GB/T 7714 |
Joshua Angrist,Michal Kolesár. One Instrument to Rule Them All: The Bias and Coverage of Just-ID IV. 2021.
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文件名：
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w29417.pdf
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格式：
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Adobe PDF
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