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

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Fingerprint Dive into the research topics of 'The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors'. Together they form a unique fingerprint.

  • Cite this