Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments

By James H. Stock, Moto Yogo. 2004

591 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4adfb0df278904a85fc167ab003e3e87e1d2e905

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Citations in the corpus

Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ∗ (2007, unknown): “Stock (1997), Wang and Zivot (1998), Zivot et al. (1998), Startz et al. (1999), Chao and Swanson (2000), Stock and Wright (2000), Dufour and Jasiak (2001), Hahn and Hausman (2002a, b), Kleibergen (2002, 2004, 2005), Moreira (2003a, b), Moreira and Poi (2001), Stock and Yogo (2002, 2003) , Stock et ”
Instrumental variable estimation in the presence of many moment conditions (2011, background): “problem. Chao and Swanson (2005) and Stock and Yogo (2005) discuss the consequences of a”
Instrumental Variable Estimation with Heteroskedasticity and Many Instruments (2012, unknown): “The asymptotic theory we consider allows for many instruments as in Kunitomo (1980) and Bekker (1994) or many weak instruments as in Chao and Swanson (2004, 2005), Stock and Yogo (2005), Han and Phillips (2006), and Andrews and Stock (2007).”
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS (2011, unknown): “The rate of convergence in Theorem 2 corresponds to the rate found by Stock and Yogo (2005) for LIML, Fuller’s modified LIML, and B2SLS when rn grows at the same rate as K and more slowly than n under homoskedasticity.”
Testing with many weak instruments (2007, methodology): “Those considered in Stock and Yogo (2005), Anderson et al. (2005), Hansen et al. (2005), and Newey and Windmeijer (2005) correspond to the case where t ¼ 1.”
GMM with many weak moment conditions (2005, methodology): “This variance for the CUE is identical to the asymptotic variance of LIML under many weak instrument asymptotics calculated by Stock and Yogo (2005). Thus we find that in”
Immigration, Ethnic Diversity, and Political Outcomes: Evidence from Denmark (2018, methodology): “The F-statistic for testing the significance of the instrument is reported at the bottom to gauge the strength of the instrument (as proposed by Stock and Yogo (2005)).”
GMM with Many Moment Conditions (2004, methodology): “Other recent work on IV limit theory with many instruments has been done by Stock and Yogo (2004) using sequential and joint limit arguments based on the methods of Phillips and Moon (1999).”
Statistical inference in two-sample summary-data Mendelian randomization using robust adjusted profile score (2018, background): “In the one-sample IV literature, this many weak IV setting (p → ∞) has been considered by Bekker [5], Stock and Yogo [49], Hansen, Hausman and Newey [26] among many others in econometrics.”