Definitely, it is more from a pedagogical point of view, although here pedagogical does not only refer to undergraduate handbooks, but to more sophisticated expositions on weak instruments, see for example Stock et al 2002, or even Hahn et al 2004!

Best

2013/11/18 Sven Schreiber <svetosch@gmx.net>

Am 18.11.2013 14:25, schrieb Matthieu Stigler:

> Hi
>
> I tried to use the IV-LIML estimator on a super simple model that does
> not include any constant (both in regressors and instruments). However,
> when trying to do so, I get an error message, like "data error"
> (actually: "erreur de donnée" in the french version). It seems however
> possible to run the same model under 2SLS.
>
> Is this on purpose? If not, maybe the code could be adjusted? I has
> probably something to do with the fact that the first M projection
> matrix becomes an identity under such circumstances?
>

Slightly OT: Can there be a good reason not to include the constant as
an instrument? Perhaps for pedagogical purposes, but in reality?

cheers,
sven

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