Inference with Weak Instruments

No 1530, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests (and confidence intervals derived from tests) than estimators. The paper also presents new testing results under "many weak IV asymptotics," which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson-Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs.

Keywords: Conditional likelihood ratio test; instrumental variables; many instrumental variables; power envelope; weak instruments (search for similar items in EconPapers)
JEL-codes: C12 C30 (search for similar items in EconPapers)
Pages: 68 pages
Date: 2005-08
New Economics Papers: this item is included in nep-ecm
Note: CFP 1249.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (120)

Published in R. Blundell, W.K. Newey, and T. Persson, eds., Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Vol. III, Cambridge University Press, 2007, Ch. 6

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d15/d1530.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Inference with Weak Instruments (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1530

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().