Discontinuities of weak instrument limiting distributions.

DOI10.1016/S0165-1765(01)00622-XzbMath1041.91048OpenAlexW2039055081MaRDI QIDQ1605257

Guido M. Kuersteiner, Jinyong Hahn

Publication date: 15 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00622-x

zbMATH Keywords

Weak instrumentsNear non-identificationTwo stage least squares

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (22)

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions ⋮ Weak Instrumental Variables Models for Longitudinal Data ⋮ A comparison of bias approximations for the two-stage least squares (2SLS) estimator ⋮ Long difference instrumental variables estimation for dynamic panel models with fixed effects ⋮ Factor-GMM estimation with large sets of possibly weak instruments ⋮ A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation ⋮ Conditional moment models under semi-strong identification ⋮ INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT ⋮ Testing identification strength ⋮ LASSO-TYPE GMM ESTIMATOR ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ Testing, Estimation in GMM and CUE with Nearly-Weak Identification ⋮ Efficient minimum distance estimation with multiple rates of convergence ⋮ Cross-sectional averaging and instrumental variable estimation with many weak instruments ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Editors' introduction ⋮ ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION ⋮ Efficient GMM with nearly-weak instruments ⋮ Identification strength with a large number of moments ⋮ On the relevance of weaker instruments

Cites Work

• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Instrumental Variables Regression with Weak Instruments

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