Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak

By Motohiro Yogo. Review of Economics and Statistics, 2004

409 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.

Conditional Linear Combination Tests for Weakly Identified Models (2016, methodology): “To assess the relative performance of all the tests we consider at parameter values relevant for empirical practice, we calibrate our simulations based on data from Yogo (2004).”
Demographics and Real Interest Rates: Inspecting the Mechanism (2016, result): “5, consistent with the estimates in Hall (1988) and Yogo (2004). The labor share of output α equals 0.”
Controlling for endogeneity with instrumental variables in strategic management research (2008, methodology): “I focus on the most robust and conservative test that should always be reported: the firststage F-statistic developed by Stock and his colleagues (Staiger and Stock, 1997; Stock et al., 2002; Stock and Yogo, 2004).”
Selecting Instrumental Variables in a Data Rich Environment (2009, methodology): “Whichever is the endogenous regressor, there is predictability beyond the instruments used in Yogo (2004).”
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments (2002, background): “The rst-stage F statistics in these regressions are frequently less than 5 (Yogo 2002), and it appears that weak instruments can explain many of these seemingly contradictory results (Stock and Wright 2000; Neely et al. 2001).”