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
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Englisch
- Erschienen in
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Series: cemmap working paper ; No. CWP19/06
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
Hausman, Jerry
Newey, Whitney
- DOI
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doi:10.1920/wp.cem.2006.1906
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hansen, Christian
- Hausman, Jerry
- Newey, Whitney
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2006