Search Results - subject:"weak instruments"

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

Persistent link: https://www.econbiz.de/10010497752

Confidence sets based on inverting Anderson–Rubin tests

Davidson, Russell; MacKinnon, James G. - In: The econometrics journal 17 (2014) 2, pp. 39-58

Persistent link: https://www.econbiz.de/10010498734

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice; Windmeijer, Frank - 2007

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/10010318586

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2007

Classification: C12, C13, C23 Keywords: Dynamic Panel Data, System GMM, Weak Instruments ∗ Helpful comments were provided by Steve … (2002). With weak instruments, the 2SLS estimator is biased in the direction of the OLS estimator, and its distribution non …, for inference one should therefore consider use of testing procedures that are robust to the weak instruments problem. The …

Persistent link: https://www.econbiz.de/10005509554

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors

Cattaneo, Mathias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2007

This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...

Persistent link: https://www.econbiz.de/10005440074

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

Bun, Maurice J.G.; Windmeijer, Frank - School of Economics, Finance and Management, University … - 2007

, System GMM, Weak Instruments ∗ 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 …

Persistent link: https://www.econbiz.de/10005022155

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007

that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …

Persistent link: https://www.econbiz.de/10005027835

GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity

Han, Chirok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2007

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the...

Persistent link: https://www.econbiz.de/10005762655

Thinking about instrumental variables (in Russian)

Sims, Christopher A. - In: Quantile (2007) 2, pp. 83-94

We take a decision-theoretic view on the question of how to use instrumental variables and method of moments. Since prior beliefs play an inevitably strong role when instruments are possibly "weak", or when the number of instruments is large relative to the number of observations, it is...

Persistent link: https://www.econbiz.de/10005230667

Enhanced routines for instrumental variables/generalized method of moments estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506

describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments …

Persistent link: https://www.econbiz.de/10005568801