CHAPTER 4. INSTRUMENTAL VARIABLES
CHAPTER 4. INSTRUMENTAL VARIABLES 1. INTRODUCTION Consider the linear model y = Xβ + , where y is n×1, X is n×k, β is k×1, and is n×1. Suppose that contamination of X, where some of the X variables are correlated with , is suspected. This can occur, for example, if contains omitted variables that are correlated with the included
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