Weak identification with many instruments

DOI10.1093/ECTJ/UTAE007MaRDI QIDQ6968528zbMATH OpenFDO

Authors Anna Mikusheva, Liyang Sun

Publication date 24 June 2025

Published in The Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ECTJ/UTAE007

zbMATH Keywords

instrumental variable regressionsmany instrumentsweak instruments

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
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• A jackknife Lagrange multiplier test with many weak instruments
• A regularization approach to the many instruments problem
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• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
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• Consistent Estimation with a Large Number of Weak Instruments
• Generalized Method of Moments With Many Weak Moment Conditions
• GMM with Many Moment Conditions
• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• Identification and Estimation of Local Average Treatment Effects
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• Inference with Many Weak Instruments
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• Instrumental variable estimation with heteroskedasticity and many instruments
• Instrumental variables estimation with many weak instruments using regularized JIVE
• Instrumental Variables Regression with Weak Instruments
• Jackknife estimation of a cluster-sample IV regression model with many weak instruments
• Leave‐Out Estimation of Variance Components
• Robust estimation with many instruments
• Sparse models and methods for optimal instruments with an application to eminent domain
• Testing many restrictions under heteroskedasticity
• Testing with many weak instruments
• The many weak instruments problem and Mendelian randomization

Cited in

(3)

• Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve
• Enhanced Power Enhancements for Testing Many Moment Equalities: Beyond the 2- and ∞-norm
• Identification-robust inference for the LATE with high-dimensional covariates

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