计量--工具变量.pdf

4.8. INSTRUMENTAL VARIABLES 35 4.8 Instrumental Variables A major complication that is emphasized in microeconometrics is the possibility of inconsistent parameter estimation due to endogenous regressors. Then regression estimates measure only the magnitude of association, rather than the magnitude and direction of causation which is needed for policy analysis. The instrumental variables estimator provides a way to nonetheless obtain con- sistent parameter estimates. This method, widely used in econometrics and rarely used elsewhere, is conceptually difcult and easily misused. We provide a lengthy expository treatment that denes an instrumental variable and explains how the instrumental variables method works in a simple setting. 4.8.1 Inconsistency of OLS Consider the scalar regression model with dependent variable y and single regres- sor x. The goal of regression analysis is to estimate the conditional mean function E [y jx]. A linear conditional mean model, without intercept for notational conve- nience, species E [y jx] = x: (4.42) This model without intercept nests the model with intercept if dependent and re- gressor variables are measured as deviations from their respective means. Interest lies in obtaining a consistent estimate of as this gives the change in the con- ditional mean given an exogenous change in x. For example, interest may lie in the effect in earnings due to an increase in schooling due to exogenous reasons, such as an increase in the minimum school leaving age, that are not a choice of the individual. The OLS regression model species y = x + u; (4.43) b where u is an error term. Regression of y on x yields OLS estimat