We develop point-identification for the local average treatment effect when the binary treatment contains a measurement error. The standard instrumental variable estimator is inconsistent for the parameter since the measurement error is non-classical by construction. We correct the problem by...

This paper develops shrinkage methods for addressing the “many instruments” problem in the context of instrumental variable estimation. It has been observed that instrumental variable estimators may behave poorly if the number of instruments is large. This problem can be addressed by...

This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying restrictions. The test statistic asymptotically follows the...

We consider instrumental variables estimation of a possibly infinite order dynamic panel autoregressive (AR) process with individual effects. The estimation is based on the sieve AR approximation with its lag order increasing with sample size. Transforming the variable to eliminate individual...