Identification and Inference with Many Invalid Instruments

Michal Kolesár, Raj Chetty, John Friedman, Edward Glaeser and Guido Imbens

No 17519, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We analyze linear models with a single endogenous regressor in the presence of many instrumental variables. We weaken a key assumption typically made in this literature by allowing all the instruments to have direct effects on the outcome. We consider restrictions on these direct effects that allow for point identification of the effect of interest. The setup leads to new insights concerning the properties of conventional estimators, novel identification strategies, and new estimators to exploit those strategies. A key assumption underlying the main identification strategy is that the product of the direct effects of the instruments on the outcome and the effects of the instruments on the endogenous regressor has expectation zero. We argue in the context of two specific examples with a group structure that this assumption has substantive content.

JEL-codes: C01 C2 C26 C36 (search for similar items in EconPapers)
Date: 2011-10
New Economics Papers: this item is included in nep-cis and nep-ecm
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Published as Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, vol 33(4), pages 474-484.

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Journal Article: Identification and Inference With Many Invalid Instruments (2015)
Working Paper: Identification and Inference With Many Invalid Instruments (2015)
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