Search Results - subject:"weak instruments"

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

Persistent link: https://www.econbiz.de/10010325667

Estimating the Veteran Effect with Endogenous Schooling When Instruments Are Potentially Weak

Chaudhuri, Saraswata; Rose, Elaina - Institute for the Study of Labor (IZA) - 2009

Instrumental variables estimates of the effect of military service on subsequent civilian earnings either omit schooling or treat it as exogenous. In a more general setting that also allows for the treatment of schooling as endogenous, we estimate the veteran effect for men who were born between...

Persistent link: https://www.econbiz.de/10004980262

Blunt Instruments: On Establishing the Causes of Economic Growth

Clemens, Michael; Bazzi, Samuel - 2009

Concern has intensified in recent years that many instrumental variables used in widely-cited growth regressions may be invalid, weak, or both. Attempts to remedy this general problem remain inadequate. We demonstrate that a range of published growth regressions may contain spurious results...

Persistent link: https://www.econbiz.de/10004991792

Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models

Finlay, Keith; Magnusson, Leandro M. - Department of Economics, Tulane University - 2009

We present a minimum distance approach for conducting hypothesis testing in the presence of potentially weak … instruments. Under this approach, we propose size correct tests for limited dependent variable models with endogenous explanatory …

Persistent link: https://www.econbiz.de/10005012452

On the Sensitivity of Return to Schooling Estimates to Estimation Methods, Model Specification, and Influential Outliers If Identification Is Weak

Jaeger, David A.; Parys, Juliane - Institute for the Study of Labor (IZA) - 2009

's Distance, heteroskedasticity, outliers, return to education, specification, weak instruments Corresponding author … Staiger and Stock (1997) have mainly motivated the recent weak instruments literature, where conventional large sample …-econometric literature on weak instruments (see Stock et al. (2002) for an overview of the issues). One of the lessons from the BJB …

Persistent link: https://www.econbiz.de/10005030897

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Institute - 2009

Persistent link: https://www.econbiz.de/10008531426

Implementing weak-instrument robust tests for a general class of instrumental-variables models

Finlay, Keith; Magnusson, Leandro M. - In: Stata Journal 9 (2009) 3, pp. 398-421

We present a minimum distance approach for conducting hypothesis testing in the presence of potentially weak … instruments. Under this approach, we propose size-correct tests for limited dependent variable models with endogenous explanatory …

Persistent link: https://www.econbiz.de/10008566197

Bootstrap inference in a linear equation estimated by instrumental variables

Davidson, Russell; Mackinnon, James - HAL - 2009

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics—Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...

Persistent link: https://www.econbiz.de/10008793853

Wild bootstrap tests for IV regression

Davidson, Russell; Mackinnon, James - HAL - 2009

We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...

Persistent link: https://www.econbiz.de/10008794398

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2009

Persistent link: https://www.econbiz.de/10011256005