Estimation With Many Instrumental Variables
نویسندگان
چکیده
منابع مشابه
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 ...
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This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test is similar to the overidentifying restrictions test of Sargan (1958) but the test statistic asymptotically follows the standard normal distribution under the null hypothesis when the number of instruments is proportional to the sample size. It turns out that the new tes...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2008
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500108000000024