Detecting invalid instruments using L1-GMM

Research output: Contribution to journalArticle

15 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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