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Franco Peracchi IV and GMM under weak instruments Spring 2011

Course outline 1. The instrumental variables (IV) method · · · · · · · · · · · · · · · · · · · · · · · · · · · · Inconsistency of OLS The simple IV estimator The class of IV estimators Sampling properties Estimates of statistical precision Hypothesis testing 2SLS Motivating examples Definitions and basic models The bias of 2SLS Standard asymptotic approximations Alternative asymptotic approximations Detecting weak instruments Hypothesis testing Confidence sets k -class estimators Bias-corrected estimators Other approaches Practical recommendations

2. 2SLS under weak instruments

3. Robust inference under weak instruments

4. The generalized method of moments (GMM) Moment restrictions MM estimators GMM estimators Asymptotic properties Definitions Asymptotic approximations Detecting weak identification Robust inference Robust estimators

5. Weak identification and robust inference in GMM


References Angrist J., and Krueger A. (2001) "Instrumental variables and the search for identification: From supply and demand to natural experiment", Journal of Economic Perspectives, 15: 69­85. Angrist J.D., and Pischke J.-S. (2008) Mostly Harmless Econometrics: An Empiricists's Companion, Princeton University Press, Princeton. Bowden R.J., and Turkington D.A. (1984) Instrumental Variables, Cambridge University Press. Hall A.H. (2005) Generalized Method of Moments, Oxford University Press, Oxford. Peracchi F. (2001) Econometrics, Wiley, Chichester (UK). White H. (2001) Asymptotic Theory for Econometricians (2nd ed.), Academic Press, San Diego (CA). Wooldridge J.M. (2002) "Applications of generalized method of moments estimation", Journal of Economic Perspectives, 15: 87­100. Wooldridge J.M. (2010) Econometric Analysis of Cross­Section and Panel Data (2nd ed.), MIT Press, Cambridge (MA). Suggestions for further reading will be provided in class.

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