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On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables
| Content Provider | Semantic Scholar |
|---|---|
| Author | Giles, David E. |
| Copyright Year | 2011 |
| Abstract | In this paper we consider the asymptotic properties of the Instrumental Variables (IV) estimator of the parameters in a linear regression model with so me random regressors, and other regressors that are dummy variables. The latter have the special pr operty that the number of non-zero values is fixed, and does not increase with the sample size. We prove that the IV estimator of the coefficient vector for the dummy variables is nconsistent, while that for the other regressors is weakly consistent under standard assumptions. However, the usual estimator for the asymptotic covariance matrix of the I.V. estimator for all of the coefficients retains its usual consistency. The t-test statistics for the dummy variable coefficients are still asymptotically standard normal, despite the inconsistency of the associated IV coefficient esti ma or. These results extend the earlier results of Hendry and Santos (2005), which relate to a fixed-r egressor model, in which the dummy variables are non-zero for just a single observation, and OLS estimation is used. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://web.uvic.ca/~dgiles/downloads/working_papers/ewp1106.pdf |
| Alternate Webpage(s) | http://web.uvic.ca/~dgiles/brown_bag/giles.pdf |
| Alternate Webpage(s) | http://web.uvic.ca/econ/research/papers/pdfs/ewp1106.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Arabic numeral 0 Coefficient Cross-sectional data Dummy variable (statistics) Godwin's law Nevus sebaceous Ordinary least squares Sample Size Time series Weak consistency t test |
| Content Type | Text |
| Resource Type | Article |
