Weak instrumental variables models for longitudinal data

DOI10.1080/07474938.2011.607356MaRDI QIDQ5080152zbMATH OpenOpenAlexFDO

Authors Ying Fang, Henong Li, Zongwu Cai

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://research.soe.xmu.edu.cn/repec/upload/20081023106487055475115776.pdf

zbMATH Keywords

longitudinal datapanel dataweak instrumentsnearly weak instrumentswithin-group TSLS estimator

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Recommendations

• Linear model IV estimation when instruments are many or weak
• On the estimation and testing of fixed effects panel data models with weak instruments
• INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
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• Double filter instrumental variable estimation of panel data models with weakly exogenous variables

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Are ``nearly exogenous instruments reliable?
• Consistent Estimation with a Large Number of Weak Instruments
• Convergency and divergency of functional coefficient weak instrumental variables models
• Detecting lack of identification in GMM
• Discontinuities of weak instrument limiting distributions.
• Efficient GMM with nearly-weak instruments
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• GMM with Weak Identification
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Instrumental Variables Regression with Weak Instruments
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The validity of instruments revisited

Cited in

(9)

• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• Regression calibration with instrumental variables for longitudinal models with interaction terms, and application to air pollution studies
• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• Semiparametric estimation of partially varying-coefficient dynamic panel data models
• On the estimation and testing of fixed effects panel data models with weak instruments
• Instrumental Variables Regression with Weak Instruments
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
• Panel structural modeling with weak instrumentation and covariance restrictions

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