The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
Abstract
Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM.
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Citations
Cites
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302 · cited 4×
“Staiger and Stock (1997) suggested testing ‚ D ‚0 using a Bonferroni test.”
BackgroundMethodInfluentialSelf-citationTesting for Weak Instruments in Linear IV Regression
Stock, J., & Yogo, M. (2002) · doi:10.3386/t0284 · Cited by 1,842
Self-citationBound, J., Jaeger, D. A., & Baker, R. M. (1995) · Journal of the American Statistical Association · doi:10.2307/2291055 · Cited by 1,018
Cited by
Mostly Harmless Econometrics: An Empiricist's Companion
Angrist, J. D., & Pischke, J.-S. (2009) · doi:10.1515/9781400829828 · Cited by 9,467
Mendelian randomization: Using genes as instruments for making causal inferences in epidemiology
Lawlor, D. A., Harbord, R. M., Sterne, J. A. C., Timpson, N., & Davey Smith, G. (2008) · Statistics in Medicine · doi:10.1002/sim.3034 · Cited by 4,618
Avoiding bias from weak instruments in Mendelian randomization studies
Burgess, S., Thompson, S. G., & CRP CHD Genetics Collaboration (2011) · International Journal of Epidemiology · doi:10.1093/ije/dyr036 · Cited by 3,952
Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models
Lewbel, A. (2012) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2012.643126 · Cited by 2,712
Endogeneity in Empirical Corporate Finance1
Roberts, M. R., & Whited, T. M. (2013) · Handbook of the Economics of Finance · doi:10.1016/b978-0-44-453594-8.00007-0 · Cited by 2,459
Metadata
- Authors
- Stock, J. H., Wright, J. H., & Yogo, M.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2002-10
- Volume
- 20
- Issue
- 4
- Pages
- 518-529
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2083485815
- Cited by
- 4,274
- References
- 3
- FWCI
- 45.35
- Type
- journal article
- Language
- en
- Open access
- closed
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- Stock, J. H., Wright, J. H., & Yogo, M. (2002). A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments. Journal of Business & Economic Statistics. https://doi.org/10.1198/073500102288618658
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