Supposedly Strong Instruments and Good Leverage Points
In this paper, we warn on the overoptimistic conclusions led by weak instruments testing when good leverage points are present in the first stage of an IV estimation. Some simulations and an empirical application are provided to illustrate the point raised.
|Date of creation:||Feb 2012|
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- Kleibergen, Frank & Paap, Richard, 2006.
"Generalized reduced rank tests using the singular value decomposition,"
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- Kleibergen, F.R. & Paap, R., 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Research Papers EI 2003-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Rodolphe Desbordes & Vincenzo Verardi, 2012. "A robust instrumental-variables estimator," Stata Journal, StataCorp LP, vol. 12(2), pages 169-181, June. Full references (including those not matched with items on IDEAS)
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