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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))

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.

Suggested Citation

  • Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 117-131.
    • Handle: RePEc:ris:apltrx:0206
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    References listed on IDEAS

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    2. Doko Tchatoka, Firmin Sabro, 2012. "Specification Tests with Weak and Invalid Instruments," MPRA Paper 40185, University Library of Munich, Germany.
    3. Schaubert, Marianna, 2022. "Do courts know how to incentivize? Behavioral response of non-resident parents to child support obligations," Children and Youth Services Review, Elsevier, vol. 137(C).
    4. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
    5. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
    6. Nucci, Francesco & Pietrovito, Filomena & Pozzolo, Alberto Franco, 2023. "Intermediated trade and credit constraints: The case of firm’s imports," International Economics, Elsevier, vol. 175(C), pages 201-220.
    7. Michael Keane & Timothy Neal, 2021. "A Practical Guide to Weak Instruments," Discussion Papers 2021-05b, School of Economics, The University of New South Wales.
    8. Fajeau, Maxime, 2021. "Too much finance or too many weak instruments?," International Economics, Elsevier, vol. 165(C), pages 14-36.
    9. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
    10. Joshua C. Hall & Brad R. Humphreys & Jane E. Ruseski, 2018. "Economic Freedom and Exercise: Evidence from State Outcomes," Southern Economic Journal, John Wiley & Sons, vol. 84(4), pages 1050-1066, April.
    11. Michael Keane & Timothy Neal, 2021. "A New Perspective on Weak Instruments," Discussion Papers 2021-05a, School of Economics, The University of New South Wales.
    12. Firmin Doko Tchatoka & Lauren Slinger & Virginie Masson, 2020. "Revisiting empirical studies on the liquidity effect: An identication-robust approach," School of Economics and Public Policy Working Papers 2020-02, University of Adelaide, School of Economics and Public Policy.
    13. Wei Wang & Kimberly A. Eddleston & Francesco Chirico & Stephen X. Zhang & Qiaozhuan Liang & Wei Deng, 2023. "Family Diversity and Business Start-Up: Do Family Meals Feed the Fire of Entrepreneurship?," Entrepreneurship Theory and Practice, , vol. 47(4), pages 1265-1297, July.
    14. Schaubert, Marianna, 2018. "Behavioral Response of Non-Resident Parents to Child Support Obligations: Evidence From SOEP," EconStor Preprints 203675, ZBW - Leibniz Information Centre for Economics.

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    More about this item

    Keywords

    instrumental variable regression; weak instruments; robustness; uniform asymptotics;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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