Econometrics II. Lecture 5. Instrumental Variables Regression. Part 1
In this lecture we introduce the idea of instrumental variables regression that helps researchers to estimate causal effects when OLS assumptions fail
00:00 Introduction
01:12 Threats to internal validity
09:25 Simultaneous causality
19:55 Instrumental variables
28:18 Two stage least squares estimator
37:20 Derivation of TSLS estimator
40:22 Consistency of TSLS estimator
43:22 Empirical examples
1:01:13 Conclusion
The course “Econometrics II“ for the 3rd year bachelors in Economics
Taught at BRICS institute, Irkutsk National Research Technical University, Winter semester 2022
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