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Inference with weak instruments

Author: Donald W K Andrews; James H Stock; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2005.
Series: NBER technical working paper series, no. 313.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Donald W K Andrews; James H Stock; National Bureau of Economic Research.
OCLC Number: 61395082
Notes: August 2005.
Title from first page of PDF document.
Description: 1 online resource (58 pages).
Series Title: NBER technical working paper series, no. 313.
Responsibility: Donald W.K. Andrews, James H. Stock.

Abstract:

Abstract: This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson- Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs.

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