Instrumental Variables Regression with Weak Instruments

DOI10.2307/2171753zbMath0871.62101OpenAlexW2165144879MaRDI QIDQ4340688

Douglas O. Staiger, James H. Stock

Publication date: 10 June 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0151.pdf

zbMATH Keywords

confidence regionsWald statisticstwo-stage least squareslimited information maximum likelihoodoveridentification testsendogeneity testssingle-equation instrumental variables regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (only showing first 100 items - show all)

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL ⋮ Normalization in Econometrics ⋮ Weak Instrumental Variables Models for Longitudinal Data ⋮ Bootstrap Confidence Sets with Weak Instruments ⋮ Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models ⋮ The pitfall of instrumental variables in big data: What the rule of thumb can't give you ⋮ Bayesian artificial neural networks for frontier efficiency analysis ⋮ Weak‐instrument robust tests in two‐sample summary‐data Mendelian randomization ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Mendelian Randomization Mixed-Scale Treatment Effect Robust Identification and Estimation for Causal Inference ⋮ Instrument strength in IV estimation and inference: a guide to theory and practice ⋮ Jackknife estimation of a cluster-sample IV regression model with many weak instruments ⋮ Wald, QLR, and score tests when parameters are subject to linear inequality constraints ⋮ On large market asymptotics for spatial price competition models ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Pretest estimation in combining probability and non-probability samples ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ An identification and testing strategy for proxy-SVARs with weak proxies ⋮ One instrument to rule them all: the bias and coverage of just-ID IV ⋮ Instrumental variable estimation with first-stage heterogeneity ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Finite Sample Properties of the Two-Step Empirical Likelihood Estimator ⋮ TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS ⋮ Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective ⋮ GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA ⋮ Testing parameter significance in instrumental variables probit estimators: some simulation ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS ⋮ A flexible instrumental variable approach ⋮ The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors ⋮ Notes on bias in estimators for simultaneous equation models. ⋮ Measuring instrument relevance in the single endogenous regressor--multiple instrument case: a simplifying procedure. ⋮ Empirical strategies in economics: illuminating the path from cause to effect ⋮ Causality in econometrics: choice vs chance ⋮ Semiparametric Bayes instrumental variable estimation with many weak instruments ⋮ Sequentially estimating the structural equation by power transformation ⋮ Residual-based IV estimation of dynamic panel data models with fixed effects ⋮ Wild bootstrap inference for instrumental variables regressions with weak and few clusters ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ Does health behavior change after diagnosis? Evidence from fuzzy regression discontinuity ⋮ Frisch-Waugh-Lovell theorem-type results for the k-class and 2SGMM estimators ⋮ Estimation of the number needed to treat, the number needed to be exposed, and the exposure impact number with instrumental variables ⋮ Bias testing, bias correction, and confounder selection using an instrumental variable model ⋮ Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models ⋮ A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors ⋮ Measuring Social Interaction Effects When Instruments Are Weak ⋮ A Bayesian approach to Mendelian randomisation with dependent instruments ⋮ Profile-likelihood Bayesian model averaging for two-sample summary data Mendelian randomization in the presence of horizontal pleiotropy ⋮ What are the statistical implications of treatment non-compliance in cluster randomized trials: a simulation study ⋮ Testing and correcting for weak and pleiotropic instruments in two-sample multivariable Mendelian randomization ⋮ Summarizing causal differences in survival curves in the presence of unmeasured confounding ⋮ Testing firm conduct ⋮ A regional analysis of climate change effects on global snow crab fishery ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS ⋮ ADMISSIBLE, SIMILAR TESTS: A CHARACTERIZATION ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments ⋮ The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model ⋮ The polar confidence curve for a ratio ⋮ Identification strength with a large number of moments ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models ⋮ Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques ⋮ Reduced forms and weak instrumentation ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^† ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results ⋮ RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD ⋮ GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model ⋮ Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ Testing with many weak instruments ⋮ The zero-information-limit condition and spurious inference in weakly identified models ⋮ Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data ⋮ A simple ordered data estimator for inverse density weighted expectations ⋮ Information in generalized method of moments estimation and entropy-based moment selection ⋮ Performance of conditional Wald tests in IV regression with weak instruments ⋮ Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ⋮ On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks ⋮ Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics ⋮ Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small ⋮ Linear instrumental variables model averaging estimation ⋮ Large shareholders, control contestability and firm productive efficiency ⋮ Symmetry-based inference in an instrumental variable setting ⋮ Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Exactly distribution-free inference in instrumental variables regression with possibly weak instruments ⋮ Efficient estimation and inference in linear pseudo-panel data models ⋮ Examining bias in estimators of linear rational expectations models under misspecification ⋮ Weak identification robust tests in an instrumental quantile model ⋮ A semi-parametric Bayesian approach to the instrumental variable problem ⋮ Efficiency in public schools: does competition matter? ⋮ Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities ⋮ Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments ⋮ Efficient forecast tests for conditional policy forecasts ⋮ Bootstrap validity for the score test when instruments may be weak ⋮ Tests of risk premia in linear factor models

This page was built for publication: Instrumental Variables Regression with Weak Instruments