主题：【原创】经济学的经验研究方法 -- Dracula

As discussed in Stock and Watson, Introduction to Econometrics (2003, Ch. 10), the first published use of IV regression to estimate the coefficient on an endogenous variable (that is, to solve the “identification problem” in econometrics) appeared in Appendix B of Philip G. Wright’s book, The Tariff on Animal and Vegetable Oils. There, the author showed, via two derivations (one limited information, or single-equation, the other full-information, or system-based), that if there an observed variable that shifts demand but not supply, this variable could be used to estimate the slope of the supply curve. This was applied to data in percentage changes, so the result was the estimation of the elasticity of supply. The estimator, referred to as the “method of external factors,” is in fact the instrumental variables estimator with a single instrument. The second method derived the indirect least squares estimator, based on first solving for the reduced form when there is a variable that shifts supply but not demand and another variable that shifts demand but not supply.

Our analysis strongly points towards Philip Wright being the author of Appendix B. We also think that there is strong circumstantial and historical evidence that he thought of the idea of IV regression himself, although without additional primary sources we cannot be as sure of this. To find out more, download the paper (.pdf file).