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A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

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Author Info
Stock, James H
Wright, Jonathan H
Yogo, Motohiro

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Abstract

Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 20 (2002)
Issue (Month): 4 (October)
Pages: 518-29
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Handle: RePEc:bes:jnlbes:v:20:y:2002:i:4:p:518-29

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This page was last updated on 2009-11-22.

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