计量经济学工具变量IV(2SLS).pptxVIP

Week 14Instrument Variable Regression ModelsSimultaneous Equation Using 2SLS (Chapter 16),IV Estimation in Multiple Regression models (15.1-3)计量经济学（研究生）第一页，共八十一页。 A New Approach to the Omitted Variable ProblemWe have talked about the problem of omitted variable bias (in Ch.3), and have shown that it will lead to inconsistency, for If we have a suitable proxy, we can minimize the bias, to some degree. (see Chapter 9)Furthermore, if the omitted variable is time invariant, then we can use a panel data model without much hesitation.Without a suitable proxy, no panel data, or if the omitted variable does change with time we need a new approach第二页，共八十一页。 Instrumental Variables RegressionThree important threats to internal validity are:omitted variable bias from a variable that is correlated with X but is unobserved, so cannot be included in the regression;(遗留变量偏差)simultaneous causality bias (X causes Y, Y causes X);(联立因果)errors-in-variables bias (X is measured with error)(变量误差)Instrumental variables regression can eliminate bias from these three sources.第三页，共八十一页。 Terminology: endogeneity and exogeneityAn endogenous variable is one that is correlated with u.An exogenous variable is one that is uncorrelated with u.Historical note: “Endogenous” literally means “determined within the system,” that is, a variable that is jointly determined with y.In other words, it is a variable subject to simultaneous causality. However, this definition is narrow and IV regression can be used to address OV bias and errors-in-variable bias, not just to simultaneous causality bias.第四页，共八十一页。 What is Simultaneous CausalitySuppose we have two endogenous variables Y1, Y2 and two exogenous variables X1, X2 such that Y1i = ?0 + ?1X1i+?2Y2i + u1i (1) Y2i = ?0 + ?1Y1i+?2X2i + u2i (2)Lets see why Y2 (or Y1) is endogenousSuppose u1i 0 and u2i =0, then we have Y1i E(Y1i) from (1)But in (2), if ?2≠0, this will cause a change in Y2i , so Y2i is correlated with u1i through (2)The same is true f