Bun, Maurice J.G.; Windmeijer, Frank - School of Economics, Finance and Management, University … - 2007
, System GMM, Weak Instruments
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Helpful comments were provided by Steve Bond and Jon Temple. This paper has been presented at …), Staiger and Stock (1997) and Stock,
Wright and Yogo (2002). With weak instruments, the 2SLS estimator is biased in the …, for inference one should therefore consider use of testing procedures that are
robust to the weak instruments problem. The …