Search Results - subject:"weak instruments"

IV Estimation with weak instruments: an application to the determinants of school attainment in Peru

Núñez, Luis García - In: Revista Economía (2008) 62, pp. 127-146

The instrumental variables (IV) method has recently become widely popular in applied econometrics. However, recent work in the literature has shown that if instruments do not hold the relevance and exogeneity conditions at least in a «strong» way, the estimation results could be quite...

Persistent link: https://www.econbiz.de/10008596672

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of Econometrics 178 (2014) P1, pp. 15-21

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows...

Persistent link: https://www.econbiz.de/10010730129

Tests based on t-statistics for IV regression with weak instruments

Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas P. - In: Journal of Econometrics 182 (2014) 2, pp. 351-363

This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly...

Persistent link: https://www.econbiz.de/10011052301

The role of constant instruments in dynamic panel estimation

Han, Chirok; Kim, Hyoungjong - In: Economics Letters 124 (2014) 3, pp. 500-503

In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

Persistent link: https://www.econbiz.de/10010930706

A Weak Instrument F-Test in Linear IV Models with Multiple Endogenous Variables

Sanderson, Eleanor; Windmeijer, Frank - School of Economics, Finance and Management, University … - 2014

We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005 …), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we … consider a weak instruments problem of a near rank reduction of one in the matrix of reduced form parameters. For example, in a …

Persistent link: https://www.econbiz.de/10011010138

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of econometrics 178 (2014) 1, pp. 15-21

Persistent link: https://www.econbiz.de/10010254992

Nonlinearity induced weak instrumentation

Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712

Persistent link: https://www.econbiz.de/10010363893

Bootstrap confidence sets with weak instruments

Davidson, Russell; MacKinnon, James G. - In: Econometric reviews 33 (2014) 5/6, pp. 651-675

Persistent link: https://www.econbiz.de/10010363895

Making weak instrument sets stronger : factor-based estimation of inflation dynamics and a monetary policy rule

Mirza, Harun; Storjohann, Lidia - In: Journal of money, credit and banking : JMCB 46 (2014) 4, pp. 643-664

Persistent link: https://www.econbiz.de/10010466745

The role of constant instruments in dynamic panel estimation

Han, Chirok; Kim, Hyoungjong - In: Economics letters 124 (2014) 3, pp. 500-503

Persistent link: https://www.econbiz.de/10010495098