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 journalArticle

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 languageEnglish
Pages (from-to)61-66
Number of pages6
JournalEconomics Letters
Volume74
Issue number1
DOIs
Publication statusPublished - 2001 Dec 20
Externally publishedYes

Fingerprint

Asymptotic distribution
Instrumental variables estimator
Estimator

Keywords

  • C1
  • C3
  • Instrumental variables
  • Irrelevant instruments
  • Weak instruments

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors. / Han, Chirok; Schmidt, Peter.

In: Economics Letters, Vol. 74, No. 1, 20.12.2001, p. 61-66.

Research output: Contribution to journalArticle

@article{bc158259dd744d5ba43dcb4d4532aa26,
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",
month = "12",
day = "20",
doi = "10.1016/S0165-1765(01)00520-1",
language = "English",
volume = "74",
pages = "61--66",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",

}

TY - JOUR

T1 - The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors

AU - Han, Chirok

AU - Schmidt, Peter

PY - 2001/12/20

Y1 - 2001/12/20

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

UR - http://www.scopus.com/inward/record.url?scp=0035639662&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0035639662&partnerID=8YFLogxK

U2 - 10.1016/S0165-1765(01)00520-1

DO - 10.1016/S0165-1765(01)00520-1

M3 - Article

AN - SCOPUS:0035639662

VL - 74

SP - 61

EP - 66

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -