Testing with many weak instruments

81 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Instrumental Variable Estimation with Heteroskedasticity and Many Instruments (2012, methodology): “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).”
Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve (2014, background): “Therefore, their results exclude cases in which the instruments may be arbitrarily weak (e.g., completely irrelevant).25 They 25 Andrews and Stock (2007) provide conditions under which the weak identification robust tests remain valid under many instruments that may be arbitrarily weak, but these…”
Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve (2009, background): “Moreover, the weak instruments literature (cf. Stock, Wright, and Yogo 2002; Dufour 2003; Andrews and Stock 2005; and Kleibergen 2007) has shown that using conventional inference methods after pretesting for identification is both unreliable and unnecessary.”