A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

By James H. Stock, Jonathan H. Wright, Motohiro Yogo. 2002

4,511 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/022cbf30ea5acec90318925979260dd90352c4bf

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In Economics and Econometrics

Citations in the corpus

Redistribution, inequality, and growth: new evidence (2018, neutral): “Despite the reduction in the sample size due to the incomplete coverage of these proxies, our results are 45 Stock and Wright (2000) and Bun and Windmeijer (2010) discuss why weak-instrument diagnostics for linear instrumental variables regression do not carry over to the more general setting of…”
An Estimation of Economic Models with Recursive (2007, neutral): “See Stock, Wright, and Yogo (2002) for a survey of this issue.”
Firm Litigation Risk and the Insurance Value of Corporate Social Performance (2013, methodology): “We also examined the strength of this instrument using a first-stage F-test (regressing the endogenous variable on the instrument only) prior to the 2SLS analysis (Stock, Wright, and Yogo, 2002).”
Valuating the effects of beach erosion to tourism revenue. A management perspective (2015, methodology): “As long as there is only one endogenous variable, the CraggeDonald F-statistic was used to test he strength of the instruments (Stock et al., 2002).”
Juvenile Incarceration, Human Capital, and Future Crime: Evidence from Randomly Assigned Judges* (2015, positive): “The resulting two-stage least squares estimator is a Jackknife Instrumental Variables Estimator (JIVE), which is recommended for models when the number of instruments (the judge fixed effects) is likely to increase with sample size (Stock, Wright, and Yogo, 2002; Kolesar et al., 2011).”
Série Scientifique Scientific Series Identification, Weak Instruments and Statistical Inference in Econometrics Identification, Weak Instruments and Statistical Inference in Econometrics (neutral): “For that purpose, we refer the reader to the excellent survey recently published by Stock, Wright, and Yogo (2002).”
Untangling the Effects of Overexploration and Overexploitation on Organizational Performance: The Moderating Role of Environmental Dynamism† (2008, background): “2. We have conducted partial F tests for these two instruments as a set and found that the corresponding partial F statistics are at least greater than 98 (for different search measures), which is significantly above the critical value of 11.59 ( Stock, Wright, & Yogo, 2002 ).”
Internal Governance and Real Earnings Management (2016, background): “65, significantly higher than the critical value suggested in Stock et al. (2002). This diagnostic test provides some assurance that our two instruments are jointly relevant.”
Does financial development mitigate carbon emissions? Evidence from heterogeneous financial economies (2020, methodology): “While finding appropriate exogenous instrument is very difficult (Stock et al., 2002), this study used the lags 4 of the financial market indicators as the instrument for the financial market development indicators used in this study.”