The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak
Open accessAbstract
In the instrumental variables (IV) regression model, weak instruments can lead to bias in estimators and size distortion in hypothesis tests. This paper examines how weak instruments affect the identification of the elasticity of intertemporal substitution (EIS) through the linearized Euler equation. Conventional IV methods result in an empirical puzzle that the EIS is significantly less than 1 but its reciprocal is not different from 1. This paper shows that weak instruments can explain the puzzle and reports valid confidence intervals for the EIS using pivotal statistics. The EIS is less than 1 and not significantly different from 0 for eleven developed countries.
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Citations
Cites
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302
Testing for Weak Instruments in Linear IV Regression
Stock, J., & Yogo, M. (2002) · doi:10.3386/t0284 · Cited by 1,842
Self-citation
Cited by
Controlling for endogeneity with instrumental variables in strategic management research
Bascle, G. (2008) · Strategic Organization · doi:10.1177/1476127008094339 · Cited by 1,133
Blunt Instruments: Avoiding Common Pitfalls in Identifying the Causes of Economic Growth
Bazzi, S., & Clemens, M. A. (2013) · American Economic Journal: Macroeconomics · doi:10.1257/mac.5.2.152 · Cited by 640
CENTRAL BANK POLICIES AND INCOME AND WEALTH INEQUALITY: A SURVEY
Colciago, A., Samarina, A., & de Haan, J. (2019) · Journal of Economic Surveys · doi:10.1111/joes.12314 · Cited by 284
Havranek, T., & Sokolova, A. (2020) · Review of Economic Dynamics · doi:10.1016/j.red.2019.05.004 · Cited by 141
Metadata
- Authors
- Yogo, M.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 2004-08
- Volume
- 86
- Issue
- 3
- Pages
- 797-810
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2045202248
- Cited by
- 411
- References
- 2
- FWCI
- 22.78
- Type
- journal article
- Language
- en
- Open access
- green
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