Detecting invalid instruments using L1-GMM

Chirok Han

doi:10.1016/j.econlet.2008.09.004

Detecting invalid instruments using L₁-GMM

Chirok Han

Department of Economics

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

Abstract

In this paper we propose a simple L₁-GMM consistent estimator for linear structural equations models when some instruments are invalid. A simple method to detect invalid instruments is also proposed.

Original language	English
Pages (from-to)	285-287
Number of pages	3
Journal	Economics Letters
Volume	101
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2008.09.004
Publication status	Published - 2008 Dec

Keywords

Instrumental variables
Invalid instruments
L-GMM
Over-identification test

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2008.09.004

Cite this

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title = "Detecting invalid instruments using L1-GMM",

abstract = "In this paper we propose a simple L1-GMM consistent estimator for linear structural equations models when some instruments are invalid. A simple method to detect invalid instruments is also proposed.",

keywords = "Instrumental variables, Invalid instruments, L-GMM, Over-identification test",

author = "Chirok Han",

year = "2008",

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language = "English",

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journal = "Economics Letters",

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KW - L-GMM

KW - Over-identification test

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