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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain … latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of … Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011636052
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2015
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...
Persistent link: https://www.econbiz.de/10011285977
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2013
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...
Persistent link: https://www.econbiz.de/10010200387
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Combining two consistent estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012
This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...
Persistent link: https://www.econbiz.de/10009766699
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Robust inference for the two-sample 2SLS estimator
Pacini, David; Windmeijer, Frank - 2016
Persistent link: https://www.econbiz.de/10011488342
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On the interpretation of instrumental variables in the presence of specification errors
Hall, Stephen G.; Swamy, Paravastu A. V. B.; Tavlas, … - 2014
Persistent link: https://www.econbiz.de/10010461203
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General doubly robust identi cation and estimation
Lewbel, Arthur; Choi, Jin-young; Zhou, Zhuzhu - 2019 - Revised December 2019
Persistent link: https://www.econbiz.de/10012231404
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A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
Persistent link: https://www.econbiz.de/10013332595
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A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10013277475
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Bias-corrected instrumental variable estimation in linear dynamic panel data models
Chen, Weihao; Čížek, Pavel - 2023
Persistent link: https://www.econbiz.de/10014427624