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Inference of a Structural Parameter in Intrumental Variables Regression with weak Instruments

Author

Listed:
  • Wang, J.
  • Zivot, E.

Abstract

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables.

Suggested Citation

  • 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.
  • Handle: RePEc:fth:washer:96-06
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    Cited by:

    1. Zivot, Eric & Startz, Richard & Nelson, Charles R, 1998. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1119-1146, November.
    2. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.

    More about this item

    Keywords

    INSTRUMENTAL VARIABLES; REGRESSION ANALYSIS;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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