Search Results - subject:"weak instruments"

Jackknife instrumental variables estimation in Stata

Poi, Brian P. - In: Stata Journal 6 (2006) 3, pp. 364-376

The two-stage least-squares (2SLS) instrumental variables estimator is commonly used to address endogeneity. However, the estimator suffers from bias that is exacerbated when the instruments are only weakly correlated with the en- dogenous variables and when many instruments are used. In this...

Persistent link: https://www.econbiz.de/10005748373

Tests and confidence sets with correct size when instruments are potentially weak

Mikusheva, Anna; Poi, Brian P. - In: Stata Journal 6 (2006) 3, pp. 335-347

We consider inference in the linear regression model with one endoge- nous variable and potentially weak instruments …

Persistent link: https://www.econbiz.de/10005748394

Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2006

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 all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and likelihood ratio (LR)--can be written as functions of six...

Persistent link: https://www.econbiz.de/10005787714

The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations

Kiviet, Jan F.; Niemczyk, Jerzy - Tinbergen Institute - 2006

In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...

Persistent link: https://www.econbiz.de/10005137201

The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations

Kiviet, J. F.; Niemczyk, Jerzy - 2006

Persistent link: https://www.econbiz.de/10011349723

Parametric inference using structural break tests

Flynn, Zachary L.; Magnusson, Leandro M. - In: Stata Journal 13 (2013) 4, pp. 836-861

wide. Moreover, they are robust to the presence of weak instruments. The genstest command in Stata implements these methods …

Persistent link: https://www.econbiz.de/10010726731

Semiparametric Efficiency Bounds for Microeconometric Models: A Survey

Severini, Thomas A.; Tripathi, Gautam - In: Foundations and Trends(R) in Econometrics 6 (2013) 3-4, pp. 163-397

In this survey, we evaluate estimators by comparing their asymptotic variances. The role of the efficiency bound, in this context, is to give a lower bound to the asymptotic variance of an estimator. An estimator with asymptotic variance equal to the efficiency bound can therefore be said to be...

Persistent link: https://www.econbiz.de/10010728835

Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information

Cai, Zongwu; Fang, Ying - 2013

We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obtain consistent estimators even if instruments are weak.

Persistent link: https://www.econbiz.de/10010892070

Inference in the Presence of Weak Instruments: A Selected Survey

Poskitt, D. S.; Skeels, C. L. - In: Foundations and Trends(R) in Econometrics 6 (2013) 1, pp. 1-99

presence of weak instruments into issues of estimation, hypothesis testing and confidence interval construction. Within this … attempt to provide an exhaustive survey of all of the literature related to weak instruments. Contributions along these lines …

Persistent link: https://www.econbiz.de/10010990813

Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?

Gomes, Fábio Augusto Reis; Paz, Lourenço S. - In: Journal of Macroeconomics 36 (2013) C, pp. 63-75

using SMF returns are plagued by weak instruments, but in some cases partially robust estimators were able to deliver a … weak instruments, but the EIS is not precisely estimated and seems to be close to zero. … estimates are usually zero or close to zero. Nevertheless, such attempts present two major problems: first, the use of weak …

Persistent link: https://www.econbiz.de/10011065320