Introduction to instrumental variables

13 May, 2021 at 19:23 | Posted in Statistics & Econometrics | Comments Off on Introduction to instrumental variables

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Great presentation, but maybe Angrist  should also have pointed out the mistake many economists do when they use instrumental variables analysis and think that their basic identification assumption is empirically testable. It is not. And just swapping an assumption of residuals being uncorrelated with the independent variables with the assumption that the same residuals are uncorrelated with an instrument doesn’t solve the endogeneity problem or improve our causal analysis.

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