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Valid Wald Inference with Many Weak Instruments

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  • Luther Yap

Abstract

This paper proposes three novel test procedures that yield valid inference in an environment with many weak instrumental variables (MWIV). It is observed that the t statistic of the jackknife instrumental variable estimator (JIVE) has an asymptotic distribution that is identical to the two-stage-least squares (TSLS) t statistic in the just-identified environment. Consequently, test procedures that were valid for TSLS t are also valid for the JIVE t. Two such procedures, i.e., VtF and conditional Wald, are adapted directly. By exploiting a feature of MWIV environments, a third, more powerful, one-sided VtF-based test procedure can be obtained.

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  • Luther Yap, 2023. "Valid Wald Inference with Many Weak Instruments," Papers 2311.15932, arXiv.org.
    • Handle: RePEc:arx:papers:2311.15932
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    File URL: https://arxiv.org/pdf/2311.15932
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    Cited by:

    1. Wenze Li, 2025. "An Empirical Comparison of Weak-IV-Robust Procedures in Just-Identified Models," Papers 2506.18001, arXiv.org.
    2. Federico Crudu & Giovanni Mellace & Zsolt S'andor, 2026. "Jackknife Instrumental Variable Inference," Papers 2604.15437, arXiv.org.

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