Detecting invalid instruments using L₁-GMM

DOI10.1016/J.ECONLET.2008.09.004MaRDI QIDQ1934944zbMATH OpenOpenAlexFDO

Authors Chirok Han

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.09.004

zbMATH Keywords

\(L_{1}\)-GMMinstrumental variablesinvalid instrumentsover-identification test

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites work

• Asymptotic Theory of Least Absolute Error Regression
• Consistent Estimation with a Large Number of Weak Instruments
• GMM with Many Moment Conditions
• Instrumental Variables Regression with Weak Instruments
• THE PROPERTIES OF L_p-GMM ESTIMATORS

Cited in

(11)

• The GENIUS approach to robust Mendelian randomization inference
• Evidence factors from multiple, possibly invalid, instrumental variables
• Doubly debiased Lasso: high-dimensional inference under hidden confounding
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• On the use of the Lasso for instrumental variables estimation with some invalid instruments
• Mendelian randomization methods for causal inference: estimands, identification and inference
• A focusing framework for testing bi-directional causal effects in Mendelian randomization
• Instrumental variable analysis of multiplicative models with potentially invalid instruments
• Relaxing the exclusion restriction in shift-share instrumental variable estimation
• Applications of nonlinear tobit models under endogeneity
• Doubly robust identification for bivariate causal discovery under unmeasured confounding

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