The Gini Instrumental Variable, or 'the Double IV Estimator'
31 Pages Posted: 26 Aug 2001
There are 2 versions of this paper
The Gini Instrumental Variable, or 'the Double IV Estimator'
The Gini Instrumental Variable, or 'The Double IV Estimator'
Date Written: July 1, 2001
Abstract
This paper shows that both OLS and Gini regression estimators can be interpreted as weighted averages of slopes of the regression curve, where the weights are derived from the Absolute Lorenz Curve of the independent variable. The instrumental variable estimators, under both approaches, can also be viewed as weighted sums of the same slopes, with the weights being derived from the Absolute Concentration Curve of the instrument with respect to the independent variable. This interpretation enables the derivation of sufficient conditions for monotonic transformations to change the sign of the instrumental variables' estimators. These conditions should be reported because they inform the reader how robust is the conclusion with respect to the sign of the estimate. It is also shown the Gini IV is less sensitive to outliers and to monotonic transformations than the OLS, it has a built-in test for examining the validity of the IV, and that it can be used to test the sensitivity of an IV estimator to the OLS regression method.
Keywords: Instrumental Variable, Ordinary Least Squares, Gini's Mean Difference
JEL Classification: C13, J0
Suggested Citation: Suggested Citation
0 References
0 Citations
Do you have a job opening that you would like to promote on SSRN?

- Citations
- Citation Indexes: 5
- Policy Citations: 2
- Usage
- Abstract Views: 2193
- Downloads: 212
- Captures
- Readers: 8

- Citations
- Citation Indexes: 5
- Policy Citations: 2
- Usage
- Abstract Views: 2193
- Downloads: 212
- Captures
- Readers: 8
Recommended Papers
-
The Properties of the Extended Gini Measures of Variability and Inequality
By Shlomo Yitzhaki and Edna Schechtman
-
Bid and Ask Prices Tailored to Traders’ Risk-Aversion and Gain-Propension
By Marta Cardin, Bennet Eisenberg, ...
-
By Luisa Tibiletti, Bennet Eisenberg, ...
-
Tracing the Curvature of a Regression Curve
By Dan Ben Hur, Lilia Frantskevich, ...
-
Mean-Extended Gini Portfolios Personalized to the Investor’s Risk-Gain Profile
By Marta Cardin, Bennet Eisenberg, ...