The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors

Chirok Han; Peter Schmidt

doi:10.1016/S0165-1765(01)00520-1

The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors

Chirok Han, Peter Schmidt

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

7 Citations (Scopus)

Abstract

When the instruments are irrelevant, the IV estimator is neither consistent nor asymptotically normal. This paper calculates the mean of its asymptotic distribution and shows that it equals the probability limit of the OLS estimator.

Original language	English
Pages (from-to)	61-66
Number of pages	6
Journal	Economics Letters
Volume	74
Issue number	1
DOIs	https://doi.org/10.1016/S0165-1765(01)00520-1
Publication status	Published - 2001 Dec 20
Externally published	Yes

Keywords

C1
C3
Instrumental variables
Irrelevant instruments
Weak instruments

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/S0165-1765(01)00520-1

Cite this

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title = "The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors",

abstract = "When the instruments are irrelevant, the IV estimator is neither consistent nor asymptotically normal. This paper calculates the mean of its asymptotic distribution and shows that it equals the probability limit of the OLS estimator.",

keywords = "C1, C3, Instrumental variables, Irrelevant instruments, Weak instruments",

author = "Chirok Han and Peter Schmidt",

year = "2001",

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doi = "10.1016/S0165-1765(01)00520-1",

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AU - Han, Chirok

AU - Schmidt, Peter

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N2 - When the instruments are irrelevant, the IV estimator is neither consistent nor asymptotically normal. This paper calculates the mean of its asymptotic distribution and shows that it equals the probability limit of the OLS estimator.

AB - When the instruments are irrelevant, the IV estimator is neither consistent nor asymptotically normal. This paper calculates the mean of its asymptotic distribution and shows that it equals the probability limit of the OLS estimator.

KW - C1

KW - C3

KW - Instrumental variables

KW - Irrelevant instruments

KW - Weak instruments

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EP - 66

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors

Abstract

Keywords

ASJC Scopus subject areas

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