Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak
研究弱工具变量如何影响通过线性化欧拉方程识别跨期替代弹性，发现弱工具变量能解释EIS小于1而倒数不异于1的实证谜题，并为11个发达国家报告了有效的置信区间。
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 one while its inverse is not different from one. 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 one and not significantly different from zero for eleven developed countries.