Estimation With Many Instrumental Variables
Estimation With Many Instrumental Variables
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DOI：
10.1198/073500108000000024
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发表时间：
2008-10-01
影响因子：
3
通讯作者：
Newey, Whitney
中科院分区：
文献类型：
--
作者：
Hansen, Christian;Hausman, Jerry;Newey, Whitney
使用许多有效的工具变量有可能提高效率，但使通常的推理程序不准确。我们给校正的标准误差，扩展贝克的非正常干扰，调整许多仪器。我们发现，这种调整是有用的经验工作，模拟，并在渐近理论。在t比率中使用校正的标准误差导致当工具变量的数量增加时与当工具的数量固定时相同的渐近近似阶。我们还给出了一个版本的Kleibergen弱仪器统计，是强大的许多工具。
Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this adjustment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number of instrumental variables grows as when the number of instruments is fixed. We also give a version of the Kleibergen weak instrument statistic that is robust to many instruments.