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Weak Instruments: A Guide to the Literature

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  • Adrian Pagan

Abstract

Weak instruments have become an issue in many contexts in which econometric methods have been used. Some progress has been made into how one diagnoses the problem and how one makes an allowance for it. The present paper gives a partial survey of this literature, focussing upon some of the major contributions and trying to provide a relatively simple exposition of the proposed solutions.

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File URL: http://www.ncer.edu.au/papers/documents/WpNo13Apr07.pdf
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Paper provided by National Centre for Econometric Research in its series NCER Working Paper Series with number 13.

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Date of creation: 03 Mar 2007
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Handle: RePEc:qut:auncer:2007-7

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  1. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  2. West, Kenneth D & Wilcox, David W, 1996. "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 281-93, July.
  3. Wang, J. & Zivot, E., 1996. "Inference of a Structural Parameter in Intrumental Variables Regression with weak Instruments," Discussion Papers in Economics at the University of Washington 96-06, Department of Economics at the University of Washington.
  4. Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).
  5. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May.
  6. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  7. Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Working Papers 88-07, University of Washington, Department of Economics.
  8. Donald W.K. Andrews & Marcelo J. Moreira & James H. Stock, 2004. "Optimal Invariant Similar Tests for Instrumental Variables Regression," Cowles Foundation Discussion Papers 1476, Cowles Foundation for Research in Economics, Yale University.
  9. Forchini, G. & Hillier, G.H., 1999. "Conditional inference for possibly unidentified structural equations," Discussion Paper Series In Economics And Econometrics 9906, Economics Division, School of Social Sciences, University of Southampton.
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