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instrumental variables
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by
Steven
N.
Durlauf
and
Lawrence
E.
Blume
Alternate versions available:
1987 Edition
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Abstract
Instrumental variables methods are an essential tool in modern econometric practice. The method itself is of ancient lineage and historically is closely connected with the econometrics of simultaneous equations. This article describes the statistical foundations of instrumental variables methods with a focus on their classical development.
Keywords
central limit theorems; errors in variables; Euler equations; generalized method of moments estimation; instrumental variables; law of large numbers; natural experiments; returns to schooling; serial correlation; simultaneous equations models; treatment effect; two-stage least squares estimator
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How to cite this article
Bates, Charles E., Moshe Buchinsky and Steven N. Durlauf. "instrumental variables." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 19 May 2013 <http://www.dictionaryofeconomics.com/article?id=pde2008_I000127> doi:10.1057/9780230226203.0812
