Detecting invalid instruments using L1-GMM

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    33 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 languageEnglish
    Pages (from-to)285-287
    Number of pages3
    JournalEconomics Letters
    Volume101
    Issue number3
    DOIs
    Publication statusPublished - 2008 Dec

    Keywords

    • Instrumental variables
    • Invalid instruments
    • L-GMM
    • Over-identification test

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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