Inference with Many Weak Instruments

DOI10.1093/RESTUD/RDAB097OpenAlexW4205207983MaRDI QIDQ5051540

Liyang Sun, Anna Mikusheva

Publication date: 23 November 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.12445

zbMATH Keywords

instrumental variablesweak identificationdimensionality asymptotics

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Breaking the winner's curse in Mendelian randomization: rerandomized inverse variance weighted estimator ⋮ Jackknife estimation of a cluster-sample IV regression model with many weak instruments ⋮ A conditional linear combination test with many weak instruments ⋮ Testing many restrictions under heteroskedasticity ⋮ One instrument to rule them all: the bias and coverage of just-ID IV

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