I need to show that, assuming a model is "just identified" the
instrumentals variable is zero, using matrix algebra notation.  i
can't find this in any of the textbooks.  some comment on why this
might be so would also be appreciated.

Thanks

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Request for Question Clarification by jeremymiles-ga on 30 May 2003 12:42 PDT

Hi Blurb,

Interesting question!  I have never seen an explanation for this,
other than "it just happens".  However, before I (or any other
researcher) looks into this, could you give us a bit more information
about the framework you are working in - IVs are used in different
approaches, such as structural equation modelling, econometric
simultaneous equation models, and time series models.

Also, just to check, could you clarify what you mean by "the
instrumentals variable is zero", thanks.

jeremymiles-ga

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Clarification of Question by blurb-ga on 30 May 2003 17:43 PDT

jeremymile-ga

the problem is in an econometric framework.  in post editing my
question i misworded it- i'm interested in proving that the IV
minimand is zero, the context is a model y=XB+u, X is full rank, u is
unobserved with E(u)=0 etc.  E(X'u) is not equal to zero, and there
are i instruments, k parameters and i=k.

thanks

Rober