| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0313 |
| 来源ID | Technical Working Paper 0313 |
| Inference with Weak Instruments | |
| Donald W.K. Andrews; James H. Stock | |
| 发表日期 | 2005-08-29 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson- Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs. |
| URL | https://www.nber.org/papers/t0313 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569225 |
| 推荐引用方式 GB/T 7714 | Donald W.K. Andrews,James H. Stock. Inference with Weak Instruments. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0313.pdf（562KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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