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The reduced form: A simple approach to inference with weak instruments

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  • Chernozhukov, Victor
  • Hansen, Christian

Abstract

In this paper, we show that conventional heteroskedasticity and autocorrelation robust inference procedures based on the reduced form provide tests and confidence intervals for structural parameters that are valid when instruments are strongly or weakly correlated to the endogenous variables.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 100 (2008)
Issue (Month): 1 (July)
Pages: 68-71

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Handle: RePEc:eee:ecolet:v:100:y:2008:i:1:p:68-71

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Joshua D. Angrist & Alan B. Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 69-85, Fall.
  2. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  3. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
  4. Daron Acemoglu & Simon Johnson & James A. Robinson, 2001. "The Colonial Origins of Comparative Development: An Empirical Investigation," American Economic Review, American Economic Association, vol. 91(5), pages 1369-1401, December.
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