A Note on the Theme of Too Many Instruments
A Note on the Theme of Too Many Instruments
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DOI：
10.1111/j.1468-0084.2008.00542.x
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发表时间：
2009-02-01
影响因子：
2.5
通讯作者：
Roodman, David
中科院分区：
文献类型：
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作者：
Roodman, David
差分矩估计法和系统广义矩估计法（GMM）越来越受到人们的关注。由于在流行的软件中实现，估计器很容易生成大量的仪器，并且在系统GMM中可能存在可疑。大型仪器集合过拟合内生变量，即使它削弱了仪器联合效度的汉森检验。本文综述了仪器扩散影响的证据，并描述和模拟了控制仪器扩散的简单方法。它通过复制福布斯[美国经济评论（2000）第90卷，第869-887页]关于收入不平等和Levine等人[货币经济学杂志]（2000）第46卷，第31-77页]关于金融部门发展的观点来说明危险。两篇论文的结果似乎是由以前未发现的内生性驱动的。
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.