Arbeitspapier

Estimation with many instrumental variables

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker (1994) to nonnormal disturbances, that adjust for many instruments. We find that this adujstment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number of instrumental variables grow as when the number of instruments is fixed. We also give a version of the Kleibergen (2002) weak instrument statistic that is robust to many instruments.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP19/06

Klassifikation
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Thema
Weak Instruments , Many Instruments , Standard Errors , Inference

Ereignis
Geistige Schöpfung
(wer)
Hansen, Christian
Hausman, Jerry
Newey, Whitney
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2006

DOI
doi:10.1920/wp.cem.2006.1906
Handle
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Hansen, Christian
  • Hausman, Jerry
  • Newey, Whitney
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2006

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