INSTRUMENTAL VARIABLES ESTIMATION IN MISSPECIFIED SINGLE EQUATIONS

Abstract

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have implications for the structure of the exact results obtained. A brief numerical examination of the analytical results is also provided. © 1995, Cambridge University Press. All rights reserved.