Study week on the econometric approach to development planning

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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

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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

SEMAINE D'ÉTUDE SUR LE ROLE DE L ANALYSE ECONOMETRIQUE ETC. 44.3 As for instruments which are indirectly causally related tc the endogenous variable involved but which fail to add signific- antly to the correlation of the regression in question, these can- not be significantly correlated with the sample residual from that regression. One can therefore argue that the evidence is against their being significantly correlated with that residual in the probability limit. Such an argument can clearly be pushed too far, however. [f there are strong a priori reasons to believe that the excluded instruments should be included in view of the causal structure of the model, one may not want to reject correlation in the probability limit because multicollinearity (for the long con- tinuance of which there may be no structural reason) leads to insignificant correlation in the sample. A modified course of action, then, is to include in the regression for any replaced variable any instrument which one believes a priori to be im- portant in that regression and which appears either in the equa- tion to be estimated or in the regression for any other replaced variable as computed by the procedures described above (%). Clearly, not much is lost by doing this since the added variables will not contribute much to the equation in the sample. Alternatively, one may go the whole way towards guarding against inconsistency from the source under discussion and include in the regression for any replaced variable all instru- ments which appear in the equation to be estimated or in the regression for any other replaced variable as computed by the described procedures whether or not such instrument is thought a priori to be important in explaining the replaced variable. This alternative clearly eliminates the danger under discussion. It may, however, reintroduce multicollinearity and may in- volve a serious departure from the causal criterion if a prior: non-causal instruments are thus included. Nevertheless. it does f%) Omitting instruments which do mot so appear does not cause in ~onsistencv > Fisher - pag. sc

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