On the validity of econometric techniques with weak instruments: Inference on returns to education using compulsory school attendance laws

Journal of Human Resources

Volumn 40, Issue 2, 2005, Pages 393-410

  Cruz, Luiz M ^a   Moreira, Marcelo J ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMETRICS; METHODOLOGY; RETURNS TO EDUCATION;

EID: 19844362848     PISSN: 0022166X     EISSN: None     Source Type: Journal    
DOI: 10.3368/jhr.xl.2.393     Document Type: Article

References (36)

1. Anderson, Theodore W., Naoto Kunitomo, and Takamitsu Sawa. 1982. "Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator." Econometrica 50(4):1009-28.
2. Anderson, Theodore W., and Herman Rubin. 1949. "Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations." Annals of Mathematical Statistics 20(1):46-63.
3. Andrews, Donald. W. K., Marcelo J. Moreira, and James H. Stock. 2004. "Optimal Invariant Similar Tests for Instrumental Variable Regression." New Haven: Yale University. Unpublished.
4. Angrist, Joshua and Alan Krueger. 1991. "Does Compulsory School Attendance Affect Schooling and Earnings?" The Quarterly Journal of Economics 106(4): 979-1014.
5. Angrist, Joshua and Alan Krueger. 1992. "Estimating the Payoff to Schooling Using the Vietnam-era Draft Lottery." NBER working papers no. 4067.
6. Angrist, Joshua and Alan Krueger. 1995. "Split-sample Instrumental Variables Estimates of the Return to Schooling." Journal of Business and Economic Statistics 13:225-35.
7. Angrist, Joshua, Guido Imbens, and Alan Krueger. 1999. "Jacknife Instrumental Variables Estimation." Journal of Applied Econometrics 4(1):57-67.
8. Bound, John and David Jaeger. 2000. "Do Compulsory School Attendance Laws Alone Explain the Association between Quarter of Birth and Earnings?" Worker Well-being. Research in Labor Economics, ed. S.W. Polachek, 19: 83-108. Amsterdam, New York, and Tokyo: Elsevier Science, JAI.
9. Bound, John, David Jaeger, and Regina Baker. 1995. "Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variables is Weak." Journal of American Statistical Association 90(430):443-50.
10. Buse, Adolf. 1992. "The Bias of Instrumental Variable Estimators." Econometrica 60(1):173-80.
11. Chao, John C., and Norman R. Swanson. 2003. "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with Application to Bias Correction." Unpublished.
12. Donald, Stephen G., and Whitney K. Newey. 2001. "Choosing the Number of Instruments." Econometrica 69(5):1161-91.
13. Dufour, Jean-Marie. 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models." Econometrica 65(6):1365-88.
14. Hahn, Jinyong, and Jerry Hausman. 2001. "Notes on Bias in Estimators for Simultaneous Equations Models." Cambridge: MIT. Unpublished.
15. Hahn, Jinyong, and Jerry Hausman. 2002. "A New Specification Test for the Validity of Instrumental Variables." Econometrica 70(1):163-89.
16. Hall, Alastair, Glenn Rudebusch, and David Wilcox. 1996. "Judging Instrument Relevance in Instrumental Variables Estimation." International Economic Review 37(2):283-98.
17. Kleibergen, Frank. 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression." Econometrica 70(5):1781-803.
18. Lehmann, Erik. 1986. Testing Statistical Hypothesis. 2nd edition. New York: Wiley Series in Probability and Mathematical Statistics.
19. Maddala, G. 1974. "Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models." Econometrica 42(5):841-51.
20. Maddala, G., and Jinook Jeong. 1992. "On the Exact Small Sample Distribution of the IV Estimator." Econometrica 60(1):181-83.
21. Moreira, Marcelo J. 2001. "Tests with Correct Size When Instruments Can Be Arbitrarily Weak." Center for Labor Economics Working Paper Series, 37. Berkeley: University of California at Berkeley.
22. Moreira, Marcelo J. 2002. Tests with Correct Size in the Simultaneous Equations Model. Dissertation. Berkeley: University of California at Berkeley.
23. Moreira, Marcelo J. 2003. "A Conditional Likelihood Ratio Test for Structural Models." Econometrica 71(4):1027-48.
24. Nagar, Alagappan. 1959. "The Bias and Moment Matrix of the General k-class Estimators of the Parameters in Simultaneous Equations." Econometrica 27(4):575-95.
25. Nelson, Charles, and Richard Startz. 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator." Econometrica 58(4):967-76.
26. Phillips, Peter. 1983. "Exact Small Sample Theory in the Simultaneous Equations Model." Handbook of Econometrics, ed. Z. Griliches and M. Intriligator, vol. 1, ch. 8: 449-516, Amsterdam: North-Holland.
27. Rothenberg, Thomas. 1984. "Approximating the Distributions of Econometric Estimators and Test Statistics." Handbook of Econometrics, ed. Z. Griliches and M. Intriligator, vol. 2, ch. 15. Amsterdam: North-Holland.
28. Sawa, Takamitsu. 1969. "The Exact Finite Sampling Distribution of Ordinary Least Squares and Two-Stage Least Squares Estimators." Journal of the American Statistical Association 64(327):923-36.
29. Sargan, J. Denis. 1976. "Econometric Estimators and the Edgeworth Approximation." Econometrica 44(3):421-48.
30. Shea, John. 1997. "Instrument Relevance in Multivariate Linear Models: a Simple Measure." Review of Economics and Statistics 79(2):348-52.
31. Staiger, Douglas and James H. Stock. 1997. "Instrumental Variables Regression with Weak Instruments." Econometrica 65(3): 557-86.
32. Stock, James H., and Motohiro Yogo. 2001. "Testing for Weak Instruments in Linear IV Regression." Cambridge: Harvard University. Unpublished.
33. Stock, James H., Jonathan Wright, and Motohiro Yogo. 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments." Journal of Business and Economic Statistics 20:518-29.
34. Wang, Jiahui, and Eric Zivot. 1998. "Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments." Econometrica 66(6):1389-404.
35. Zellner, Arnold. 1962. "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias." Journal of the American Statistical Association 57(298): 348-68.
36. Zivot, Eric, Richard Startz, and Charles Nelson. 1998. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments." International Economic Review 39(4):1119-44.