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I am looking for a dataset to show (to a group of engineers) how the instrumental variables technique is used in econometric practice.

I could always make up my own data, but I think it might be more interesting to everyone using real (not to complicated) data to replicate an actual study.


ps. Forgive me if this is off-topic for this site.

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  • $\begingroup$ This is actually a great question. If you find any study you like (without classified data), you can contact the author(s) of the study and they should provide you that data and code upon request. It might take 2-3 weeks for them (or you) to clean it and get back to you. The cleanliness of raw data and code may vary tremendously between economists, but the policy remains the same- our results must be robust to investigation by peers. $\endgroup$ – RegressForward Jun 28 '15 at 16:57
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I can recommend this paper as an example:

The Colonial Origins of Comparative Development: An Empirical Investigation

Daron Acemoglu, Simon Johnson, and James A. Robinson

This example is famous not only thanks to the creative use of instrumental variables, but also because of the subsequent discussion about the validity of the instruments.

And relevant discussions:

  • Bazzi, Samuel, and Michael A. Clemens. “Blunt Instruments: Avoiding Common Pitfalls in Identifying the Causes of Economic Growth.” American Economic Journal: Macroeconomics 5, no. 2 (2013): 152–86.
  • Deaton, Angus. “Instruments, Randomization, and Learning about Development.” Journal of Economic Literature 48, no. 2 (2010): 424–55.

Secondly,

Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments

Angrist, Joshua D., and Alan B. Krueger

We discuss the mechanics of instrumental variables and the qualities that make for a good instrument, devoting particular attention to instruments derived from "natural experiments."

Examples follow.

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By open access do you mean free online access? Does Compulsory School Attendance Affect Schooling and Earnings? (Angrist and Krueger (1991)) uses month of birth as an instrument for educational attainment:

This paper presents evidence showing that individuals' season of birth is related to their educational attainment because of the combined effects of school start age policy and compulsory school attendance laws. In most school districts, individuals born in the beginning of the year start school at a slightly older age, and therefore are eligible to drop out of school after completing fewer years of schooling than individuals born near the end of the year. Our estimates suggest that as many as 25 percent of potential dropouts remain in school because of compulsory schooling laws. We estimate the impact of compulsory schooling on earnings by using quarter of birth as an instrumental variable for education in an earnings equation. This provides a valid identification strategy because date of birth is unlikely to be correlated with omitted earnings determinants. The instrumental variables estimate of the rate of return to education is remarkably close to the ordinary least squares estimate, suggesting that there is little ability bias in conventional estimates of the return to education. The results also imply that individuals who are compelled to attend school longer than they desire by compulsory schooling laws reap a substantial return for their extra schooling.

The authors make their data and Stata code available on the internet without restriction. That said, this instrument has problems.

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  • $\begingroup$ "free online acces" exactly. $\endgroup$ – snoram Jun 28 '15 at 18:03
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In the ReplicationWiki (that I founded) you can find replication material for many methods. An overview of empirical studies that used instrumental variables (IV) can be found here. It shows more than a hundred open access datasets for teaching IV regression. You can also see if replications are already known. If you only want cases with data and want to see what software was used you can use the search form like here.

There is also information on replications of two studies mentioned above: A 2012 comment on "The Colonial Origins of Comparative Development: An Empirical Investigation" and a reply to it, and a replication of a part of the above mentioned study "Does Compulsory School Attendance Affect Schooling and Earnings? (Angrist and Krueger (1991). It uses a different methodology.

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  • $\begingroup$ Thanks, I see your point. As it just helped to find additional information on an answer that was already provided and was not really an answer by itself, I thought I should rather write it as a comment but I merged it now. The other comment was already voted up where it is so I leave it, hope that's ok. I cannot see a fourth mentioning.? $\endgroup$ – Jan Höffler Feb 10 '16 at 21:38
  • $\begingroup$ Ok, integrated that one as well now. $\endgroup$ – Jan Höffler Feb 10 '16 at 21:55
  • $\begingroup$ I have deleted my previous comments as you have performed the requested edits. $\endgroup$ – Giskard Feb 12 '16 at 23:15
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    $\begingroup$ +1: In its current state (2/13/16), this answer looks pretty good. Looks like a very good resource. $\endgroup$ – jmbejara Feb 13 '16 at 17:40

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