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Survey on statistical inferences in weakly-identified instrumental variable models

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  • Mikusheva, Anna

    ()
    (Massachusetts Institute of Technology (MIT))

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    Abstract

    This paper provides a brief review of the current state of knowledge on the topic of weakly-identified instrumental variable regression. We describe the essence of the problem of weak identification, possible methods for detecting it in applied work as well as methods robust to weak identification. Special attention is devoted to the question of hypothesis testing in the presence of weak identification.

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    File URL: http://pe.cemi.rssi.ru/pe_2013_1_117-131.pdf
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    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 29 (2013)
    Issue (Month): 1 ()
    Pages: 117-131

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    Handle: RePEc:ris:apltrx:0206

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    Web page: http://appliedeconometrics.cemi.rssi.ru/

    Related research

    Keywords: instrumental variable regression; weak instruments; robustness; uniform asymptotics;

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