Econometrics II. Lecture 5. Instrumental Variables Regression. Part 1

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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
  1. tea4erman
  2. econometrics
  3. inference
  4. panel data
  5. regression
  6. causality
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