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The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

A Note on the Theme of Too Many Instruments*

Open access
Roodman, David·2009·Oxford Bulletin of Economics and Statistics
DOI 10.1111/j.1468-0084.2008.00542.x
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Abstract

The difference and system generalized method of moments (GMM) estimators are growing in popularity. As implemented in popular software, the estimators easily generate instruments that are numerous and, in system GMM, potentially suspect. A large instrument collection overfits endogenous variables even as it weakens the Hansen test of the instruments’ joint validity. This paper reviews the evidence on the effects of instrument proliferation, and describes and simulates simple ways to control it. It illustrates the dangers by replicating Forbes [American Economic Review (2000) Vol. 90, pp. 869–887] on income inequality and Levine et al. [Journal of Monetary Economics] (2000) Vol. 46, pp. 31–77] on financial sector development. Results in both papers appear driven by previously undetected endogeneity.

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Research works printed but not linked: 33

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Metadata

Authors
Roodman, D.
Venue
Oxford Bulletin of Economics and Statistics
Publisher
Wiley
Published
2009-01-16
Volume
71
Issue
1
Pages
135-158
ISSN
  • 0305-9049 (ISSN-L)
  • 1468-0084
DOI
10.1111/j.1468-0084.2008.00542.x
OpenAlex
W3126027997
Cited by
5,084
References
5
FWCI
147.58
Type
journal article
Language
en
Open access
bronze
Licence
onlinelibrary.wiley.com/termsAndConditions#vor (vor)

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Roodman, D. (2009). A Note on the Theme of Too Many Instruments*. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/j.1468-0084.2008.00542.x

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