Estimation with Weak Instruments: Accuracy of Higher-order Bias and MSE Approximations

By Jinyong Hahn, Jerry A. Hausman, G. Kuersteiner. 2004

143 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f8eef703e86a2fa8b9116134d591ea66f2200f39

Citations in the corpus

• Enhanced Routines for Instrumental Variables/Generalized Method of Moments Estimation and Testing (2007, unknown): “In particular, there is evidence suggesting that CUE and LIML perform better than IV/GMM in the presence of weak instruments (Hahn, Hausman, and Kuersteiner 2004).”
• Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation (2012, unknown): “29 Fuller’s modification of the LIML estimator is more robust than 2SLS in the presence of weak instruments and performs relatively well in the simulations by Hahn et al. (2004).”
• Performance of Conditional Wald Tests in IV Regression with Weak Instruments (2007, unknown): “For further discussion, see Donald and Newey (2001), Stock et al. (2002, Section 6.1), and Hahn et al. (2004).”
• Constructing Optimal Instruments by First-Stage Prediction Averaging (2010, unknown): “All proofs are available in the Supplemental Material (Kuersteiner and Okui (2010)).”
• Dualism and cross-country growth regressions (2006, unknown): “It performs relatively well in the simulations carried out in Hahn et al. (2004) and appears to have lower small-sample variability than LIML.”
• Consistent Estimation with a Large Number of Weak Instruments (2005, unknown): “Other influential papers in this area include Angrist and Krueger (1995), Donald and Newey (2001), Hahn, Hausman, and Kuersteiner (2001), Hahn (2002), Hahn and Inoue (2002), and Chamberlain and Imbens (2004).”
• Finite sample evidence of IV estimators under weak instruments (2007, unknown): “On the other hand, Hahn et al. (2004) argue that the absence of finite sample moments is of concern, which is reflected in higher-order risk properties for those estimators.”
• Estimation With Many Instrumental Variables (2006, unknown): “Hahn and Hausman (2002) gave a test for weak instruments and Hahn, Hausman, and Kuersteiner (2004) showed that FULL performs well under weak instruments.”
• THE IMPACT OF TAX CUTS ON ECONOMIC GROWTH: EVIDENCE FROM THE CANADIAN PROVINCES (2012, unknown): “As shown by Hahn, Hausman, and Kuersteiner (2004), FULL provides better results than LIML when the instruments are weak; Stock and Yogo (2005) also discuss this issue.”