Inference with many instruments: when is Anderson-Rubin test still useful?

DOI10.1016/J.ECONLET.2025.112702MaRDI QIDQ6882935zbMATH OpenFDO

Authors Firmin Doko Tchatoka, Yuguo Ma

Publication date 16 December 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112702

zbMATH Keywords

Anderson-Rubin testcausal inferenceidentification-robust inferenceIV estimatorsmany IVs

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Cites work

• A Ridge-Regularized Jackknifed Anderson-Rubin Test
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Consistent Estimation with a Large Number of Weak Instruments
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• GMM with Many Moment Conditions
• Identification-robust inference for endogeneity parameters in linear structural models
• Inference with Many Weak Instruments
• Instrumental variables estimation with many weak instruments using regularized JIVE
• Instrumental Variables Regression with Weak Instruments
• Moments and cumulants in the specification of distributions.
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Sparse models and methods for optimal instruments with an application to eminent domain
• Specification testing in models with many instruments
• Testing with many weak instruments

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