ARE INSTRUMENTAL VARIABLES REALLY THAT INSTRUMENTAL? ENDOGENEITY RESOLUTION IN REGRESSION MODELS FOR COMPARATIVE STUDIES

Ravi Kashyap

doi:10.5705/ss.202019.0459

ARE INSTRUMENTAL VARIABLES REALLY THAT INSTRUMENTAL? ENDOGENEITY RESOLUTION IN REGRESSION MODELS FOR COMPARATIVE STUDIES

Ravi Kashyap^*

^*Corresponding author for this work

Department of Economics and Finance

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

1 Citation (Scopus)

34 Downloads (CityUHK Scholars)

Abstract

We provide a justification for why, and when, endogeneity will not cause bias in the interpretation of the coefficients in a regression model. This technique can be a viable alternative to, or even used alongside, the instrumental variable method. We show that when performing any comparative study, it is possible to measure the true change in the coefficients under a broad set of conditions. Our results hold, as long as the product of the covariance structure between the explanatory variables and the covariance between the error term and the explanatory variables are equal, within the same system at different time periods or across multiple systems at the same point in time.

Original language	English
Pages (from-to)	645-651
Journal	Statistica Sinica
Volume	32
Issue number	Online Special Issue
DOIs	https://doi.org/10.5705/ss.202019.0459
Publication status	Published - 2022

Bibliographical note

Full text of this publication does not contain sufficient affiliation information. The Research Unit(s) information for this record is based on the then academic department affiliation of the author(s).

Research Keywords

Bias
coefficients
comparative
econometric
endogeneity
experimental design
instrumental variable
regression model
time series analysis
quantitative methodology

Publisher's Copyright Statement

COPYRIGHT TERMS OF DEPOSITED FINAL PUBLISHED VERSION FILE: Statistica Sinica © 2022 Institute of Statistical Science, Academia Sinica. Use of this article is permitted solely for educational and research purposes. Kashyap, R. (2022). ARE INSTRUMENTAL VARIABLES REALLY THAT INSTRUMENTAL? ENDOGENEITY RESOLUTION IN REGRESSION MODELS FOR COMPARATIVE STUDIES. Statistica Sinica, 32 (Online Special Issue), 645-651. https://doi.org/10.5705/ss.202019.0459.

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KW - comparative

KW - econometric

KW - endogeneity

KW - experimental design

KW - instrumental variable

KW - regression model

KW - time series analysis

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SN - 1017-0405

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SP - 645

EP - 651

JO - Statistica Sinica

JF - Statistica Sinica

IS - Online Special Issue

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ARE INSTRUMENTAL VARIABLES REALLY THAT INSTRUMENTAL? ENDOGENEITY RESOLUTION IN REGRESSION MODELS FOR COMPARATIVE STUDIES

Abstract

Bibliographical note

Research Keywords

Publisher's Copyright Statement

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