Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/35960
Authors: 
Mogstad, Magne
Wiswall, Matthew
Year of Publication: 
2010
Series/Report no.: 
IZA Discussion Papers 4689
Abstract: 
We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the instrument is non-randomly missing, standard IV estimators require strong, auxiliary assumptions to be consistent. In many (quasi)natural experiments, the auxiliary assumptions are unlikely to hold. We therefore introduce alternative IV estimators that are robust to non-randomly missing instruments without auxiliary assumptions. A Monte-Carlo study illustrates our results.
Subjects: 
Instrumental variables
partially missing instruments
sample selection
sub-sample estimation
JEL: 
C31
C34
Document Type: 
Working Paper

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