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Chapter 12

Chapter 12. Instrumental Variables Regression. Instrumental Variables Regression (SW Chapter 12). IV Regression with One Regressor and One Instrument (SW Section 12.1). Terminology: endogeneity and exogeneity . Two conditions for a valid instrument . The IV Estimator, one X and one Z.

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Chapter 12

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  1. Chapter 12 Instrumental Variables Regression

  2. Instrumental Variables Regression (SW Chapter 12)

  3. IV Regression with One Regressor and One Instrument (SW Section 12.1)

  4. Terminology: endogeneity and exogeneity

  5. Two conditions for a valid instrument

  6. The IV Estimator, one X and one Z

  7. Two Stage Least Squares, ctd.

  8. Two Stage Least Squares, ctd.

  9. The IV Estimator, one X and one Z, ctd.

  10. The IV Estimator, one X and one Z, ctd.

  11. Consistency of the TSLS estimator

  12. Example #1: Supply and demand for butter

  13. TSLS in the supply-demand example:

  14. TSLS in the supply-demand example, ctd.

  15. Example #2: Test scores and class size

  16. Example #2: Test scores and class size, ctd.

  17. Inference using TSLS

  18. Inference using TSLS, ctd.

  19. Example: Cigarette demand, ctd.

  20. Cigarette demand, ctd.

  21. STATA Example: Cigarette demand, First stage

  22. Second stage

  23. Combined into a single command

  24. Summary of IV Regression with a Single X and Z

  25. The General IV Regression Model(SW Section 12.2)

  26. Identification

  27. Identification, ctd.

  28. The general IV regression model: Summary of jargon

  29. TSLS with a single endogenous regressor

  30. Example: Demand for cigarettes

  31. Example: Cigarette demand, one instrument

  32. Example: Cigarette demand, two instruments

  33. The General Instrument Validity Assumptions

  34. The IV Regression Assumptions

  35. Checking Instrument Validity (SW Section 12.3)

  36. Checking Assumption #1: Instrument Relevance

  37. What are the consequences of weak instruments?

  38. An example: the sampling distribution of the TSLS t-statistic with weak instruments

  39. Why does our trusty normal approximation fail us?

  40. Measuring the strength of instruments in practice: The first-stage F-statistic

  41. Checking for weak instruments with a single X

  42. What to do if you have weak instruments?

  43. Confidence intervals with weak instruments

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