Search Results - subject:"weak instruments"

Ill-posed Problems and Instruments' Weakness

Hillier, Grant; Forchini, Giovanni - Econometric Society - 2004

Potscher (Econometrica, 2002) has pointed out that several estimation problems in econometrics are ill-posed. This paper further studies the nature of ill-posed problems in parametric models. Our starting point is that both parameters and estimators may be seen as maps from the manifold of...

Persistent link: https://www.econbiz.de/10005702542

Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments

Caner, Mehmet - Econometric Society - 2004

In this paper we analyze GMM with semi-weak instruments. This case includes the standard GMM and the nearly-weak GMM … are possible with Wald, Likelihood ratio and LM tests in GMM with semi-weak instruments. This is important from an applied … nearly-weak instruments in GMM it is still possible to test various hypotheses of interest. We also find a difference between …

Persistent link: https://www.econbiz.de/10005702627

Simulation-Based Finite-Sample Inference in Simultaneous Equations

Khalaf, Lynda; Dufour, Jean-Marie - Econometric Society - 2004

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely …

Persistent link: https://www.econbiz.de/10005130223

Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small.

Poskitt, D. S.; Skeels, C. L. - Department of Econometrics and Business Statistics, … - 2004

This paper presents a new approximation to the exact sampling distribution of the instrumental variables estimator in simultaneous equations models. It differs from many of the approximations currently available, Edgeworth expansions for example, in that it is specifically designed to work well...

Persistent link: https://www.econbiz.de/10005149061

Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap

Kleibergen, Frank - Econometric Society - 2004

We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and continuous updating estimators (CUE). We show that the sensitivity of the limit distribution to weak and many instruments results from superfluous elements in the higher order...

Persistent link: https://www.econbiz.de/10005342218

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic …

Persistent link: https://www.econbiz.de/10010263213

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10010271942

Laws and Limits of Econometrics

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...

Persistent link: https://www.econbiz.de/10004990687

Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction

Chao, John; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005762492

Consistent Estimation with a Large Number of Weak Instruments

Chao, John Chao; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

weak instruments. Our results, thus, add to the findings of Staiger and Stock (1997) who study a local-to-zero framework …

Persistent link: https://www.econbiz.de/10005762818