Study week on the econometric approach to development planning

Bibliographic data

Monograph

Identifikator:: 1824422792

URN:: urn:nbn:de:zbw-retromon-217476

Document type:: Monograph

Title:: Study week on the econometric approach to development planning

Place of publication:: Amsterdam [u.a.]

Publisher:: North-Holland Publ. Co. [u.a.]

Year of publication:: 1965

Scope:: XLVII, 1259 S.; graph. Darst.

Digitisation:: 2022

Collection:: Economics Books

Usage license:: Get license information via the feedback formular.

Chapter

Document type:: Monograph

Structure type:: Chapter

Title:: Dynamic structure and estimation in economy-wide econometric models / FranklinM. Fisher, Massachuetts Institute of Technology - Cambridge, Mass. - U.S.A.

Collection:: Economics Books

128 PONTIFICIAE ACADEMIAE SCIENTIARVM SCRIPTA VARIA - 2 causal connection must therefore exist, the question naturally arises of why it must be one in which the instrumental variables. cause the included ones. If correlation is all that matters, surely the causal link might be reversed or both variables in- flunced by a common third one. This is not the case. Consider first the situation in which the proposed instrumental variable is caused in part by vari- ables included in the model. To the extent that this is the case, no advantage is obtained by using the proposed instru- mental variable over using the included variables themselves. Obviously, the included variables are more highly correlated with themselves than with the proposed instrument. Further, correlation with the disturbances will be maintained if the pro- posed instrument is used. To the extent that the proposed instrument is caused by variables unrelated to the included variables, correlation with the disturbances will go down, but so also will correlation with the included variables. The situation is similar if the proposed instrumental variable and one or more of the included ones are caused in part by a third variable. In this case, it is obviously more efficient to use that third variable itself as an instrument, and, if this is done, no further advantage attaches to the use of the proposed instrumental variable in addition. (The only exception to this occurs if data on the jointly causing variable are not available. In such a case, the proposed instrument could be used to advantage.) In general, then, an instrumental variable should be known to cause the included variables in the equation, at least indi- rectly. The closer is such a causal connection the better. As can easily be seen from our discussion of block-recursive systems, however, in many cases the closer is that connection the greater the danger of inconsistency through high correla- tions with the relevant disturbances. In such systems, for example, current endogenous variables in low-numbered sectors directlv cause current endogenous variables in high-numbered ‘61 Fisher - pag. 44

Access restriction

Copyright

fullscreen: Study week on the econometric approach to development planning

Monograph

Chapter

Table of contents

Download

Monograph

Chapter

This page

Image fragment

Citation links

Citation recommendation