Avoiding Invalid Instruments and Coping with Weak Instruments
回顾工具变量估计，讨论避免无效工具变量（与扰动项相关）的经典策略，以及应对弱工具变量（与解释变量弱相关）的新方法，对实证研究者有用。
Archimedes said, “Give me the place to stand, and a lever long enough, and I will move the Earth.” Economists have their own powerful lever: the instrumental variable estimator. The instrumental variable estimator can avoid the bias that ordinary least squares suffers when an explanatory variable in a regression is correlated with the regression's disturbance term. But, like Archimedes' lever, instrumental variable estimation requires both a valid instrument on which to stand and an instrument that isn't too short (or “too weak”). This paper briefly reviews instrumental variable estimation, discusses classic strategies for avoiding invalid instruments (instruments themselves correlated with the regression's disturbances), and describes recently developed strategies for coping with weak instruments (instruments only weakly correlated with the offending explanator).