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On the Practice of Lagging Variables to Avoid Simultaneity

William Robert Reed

出版	Department of Economics and Finance, College of Business and Economics, University of Canterbury, 2014
URL	http://books.google.com.hk/books?id=l5jxoQEACAAJ&hl=&source=gbs_api

註釋

A common practice in applied economics research consists of replacing a suspected simultaneously determined explanatory variable with its lagged value. This note demonstrates that this practice does not enable one to avoid simultaneity bias. The associated estimates are still inconsistent, and hypothesis testing is invalid. An alternative is to use lagged values of the endogenous variable in instrumental variable estimation. However, this is only an effective estimation strategy if the lagged values do not themselves belong in the respective estimating equation, and if they are sufficiently correlated with the simultaneously determined explanatory variable.