Instrumental Variables: An Econometrician's Perspective
I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent applications in settings of randomized experiments with noncompliance. I discuss the assumptions underlying instrumental variables methods and in what settings these may be plausible. By providing context to the current applications a better understanding of the applicability of these methods may arise.
Financial support for this research was generously provided through NSF grants 0820361 and 0961707. I am grateful to Joshua Angrist who got me interested in these topics many years ago, and, over the years, has taught me much about the issues discussed in this manuscript, the editor of Statistical Science for suggesting this review, and three anonymous referees who wrote remarkably thoughtful reviews. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.
Guido W. Imbens, 2014. "Instrumental Variables: An Econometrician’s Perspective," Statistical Science, vol 29(3), pages 323-358.