Identification and Inference with Many Invalid Instruments / Michal Kolesár, Raj Chetty, John N. Friedman, Edward L. Glaeser, Guido W. Imbens.

Format:

Book

Author/Creator:

Kolesár, Michal.

Contributor:

National Bureau of Economic Research.

Chetty, Raj.

Friedman, John N.

Glaeser, Edward L.

Imbens, Guido W.

Series:

Working Paper Series (National Bureau of Economic Research) no. w17519.

NBER working paper series no. w17519

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

We analyze linear models with a single endogenous regressor in the presence of many instrumental variables. We weaken a key assumption typically made in this literature by allowing all the instruments to have direct effects on the outcome. We consider restrictions on these direct effects that allow for point identification of the effect of interest. The setup leads to new insights concerning the properties of conventional estimators, novel identification strategies, and new estimators to exploit those strategies. A key assumption underlying the main identification strategy is that the product of the direct effects of the instruments on the outcome and the effects of the instruments on the endogenous regressor has expectation zero. We argue in the context of two specific examples with a group structure that this assumption has substantive content.

Notes:

Print version record

October 2011.