操作変数法
出典: フリー百科事典『ウィキペディア(Wikipedia)』 (2022/11/29 04:54 UTC 版)
操作変数法(そうさへんすうほう、英: method of instrumental variables, IV)とは、統計学、計量経済学、疫学、また関連分野において、統制された実験が出来ない時、もしくは処置がランダムに割り当てられない時に、因果関係を推定するための方法である[1]。直感的に言えば、操作変数は説明変数と被説明変数の間の相関が二変数間の因果関係をもっともらしく反映していない時に用いられる。妥当な操作変数は説明変数に影響を与えるが被説明変数に独立的な影響を持たず、研究者が被説明変数に対する説明変数の因果効果を明らかにすることを可能とする。
- ^ Imbens, G.; Angrist, J. (1994), “Identification and estimation of local average treatment effects”, Econometrica 62 (2): 467–476, JSTOR 2951620
- ^ Bullock, J. G.; Green, D. P.; Ha, S. E. (2010). “Yes, But What’s the Mechanism? (Don’t Expect an Easy Answer)”. Journal of Personality and Social Psychology 98 (4): 550–558. doi:10.1037/a0018933.
- ^ https://www.stata.com/meeting/5nasug/wiv.pdf
- ^ The Fall of OLS in Structural Estimation, doi:10.2307/2663184 (inactive 23 March 2015), JSTOR 2663184。
- ^ Stock, James H.; Trebbi, Francesco (2003). "Retrospectives: Who Invented Instrumental Variable Regression?". Journal of Economic Perspectives. 17 (3): 177–194. doi:10.1257/089533003769204416。
- ^ Reiersøl, Olav (1945). Confluence Analysis by Means of Instrumental Sets of Variables. Arkiv for Mathematic, Astronomi, och Fysik. 32A. Uppsala: Almquist & Wiksells. OCLC 793451601
- ^ Bowden, R.J.; Turkington, D.A. (1984). Instrumental Variables. Cambridge, England: Cambridge University Press
- ^ 証明については [1]を参照。
- ^ a b c Pearl, J. (2000). Causality: Models, Reasoning, and Inference. New York: Cambridge University Press. ISBN 0-521-89560-X
- ^ Leigh, J. P.; Schembri, M. (2004), “Instrumental Variables Technique: Cigarette Price Provided Better Estimate of Effects of Smoking on SF-12”, Journal of Clinical Epidemiology 57 (3): 284–293, doi:10.1016/j.jclinepi.2003.08.006
- ^ Angrist, J.; Krueger, A. (2001), “Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments”, Journal of Economic Perspectives 15 (4): 69–85, doi:10.1257/jep.15.4.69
- ^ Davidson, Russell; Mackinnon, James (1993). Estimation and Inference in Econometrics. New York: Oxford University Press. ISBN 0-19-506011-3
- ^ Balke, A.; Pearl, J. (1997). “Bounds on treatment effects from studies with imperfect compliance”. Journal of the American Statistical Association 92 (439): 1172–1176. doi:10.1080/01621459.1997.10474074.
- ^ Heckman, J. (1997). “Instrumental variables: A study of implicit behavioral assumptions used in making program evaluations”. Journal of Human Resources 32 (3): 441–462. JSTOR 146178.
- ^ Bound, J.; Jaeger, D. A.; Baker, R. M. (1995). “Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak”. Journal of the American Statistical Association 90 (430): 443. doi:10.1080/01621459.1995.10476536.
- ^ Nelson, C. R.; Startz, R. (1990). “Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator”. Econometrica 58 (4): 967–976. JSTOR 2938359.
- ^ Stock, J.; Wright, J.; Yogo, M. (2002). “A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments”. Journal of the American Statistical Association 20 (4): 518–529. doi:10.1198/073500102288618658.
- ^ Hayashi, Fumio (2000). “Testing Overidentifying Restrictions”. Econometrics. Princeton: Princeton University Press. pp. 217–221. ISBN 0-691-01018-8
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