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Constrained k-class Estimators in the Presence of Weak Instruments

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  • Iglesias Emma M.

    (Michigan State University and University of Essex)

Abstract

In this paper, we show how we can apply the existing theory when a parameter is on a boundary (see Andrews (1999, 2000) and Iglesias and Linton (2007)) in the context of weak instruments. When we have a priori knowledge of the signs of the relationships between the instruments and the endogenous variables, we can construct constrained k-class estimators (a special case is a constrained 2SLS estimator), where the asymptotic theory in the presence of weak instruments changes in relation to the traditional weak-instrument asymptotics of the unconstrained k-class estimators of Staiger and Stock (1997). We show theoretically and in a simulation study the advantages that we have by constraining the estimator.

Suggested Citation

  • Iglesias Emma M., 2011. "Constrained k-class Estimators in the Presence of Weak Instruments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-13, September.
    • Handle: RePEc:bpj:sndecm:v:15:y:2011:i:4:n:5
    DOI: 10.2202/1558-3708.1816
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    References listed on IDEAS

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