This study considers the instrumental variable estimation of factor models. Specifically, we investigate the weak-instruments problem, which is not well investigated in the literature, in detail. We show that the signal-to-noise ratios, which are defined by the variance ratios of the common ...
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for c...
1) Weak Instrumental Variable 弱工具变量2) instrumental variable 工具变量 1. In this paper,a best instrumental variable estimator is made up by the linear combination of a few instrumental variables from an equation model of econometrics. 针对单方程的经济计量模型从多个可供选择的工具变量出发 ,...
网络弱工具变量 网络释义 1. 弱工具变量 弱工具变量,Weak... ... ) instrumental variable estimation 工具变量估计 )Weak Instrumental Variable弱工具变量... www.dictall.com|基于 1 个网页
When δ=0 in the two-variable model, or when there are more than two endogenous variables, further information over and above the Cragg–Donald statistic can be obtained about the nature of the weak instrument problem by computing the conditional first-stage F-statistics....
Any instrumental variables (IV) estimator relies on two key assumptions in order to identify causal effects: That the excluded instrument or instruments only effect the dependent variable through their effect on the endogenous explanatory variable or var
Weak instrumentscan wreak havoc with your regression analysis. “Instruments” (instrumental variables) are a third variable, Z, used when you haveendogenous variables—variables that are influenced by other variables in the model. Instruments are used to account for unexpected behavior between variables...
multipliertestsaremade.NumericalresultsshowthattheCLRtestison theasymptoticpowerenvelope.Thisholdsnomatterwhattherelativemagnitude oftheIVstrengthtothenumberofIVs. Keywords:Conditionallikelihoodratiotest,instrumentalvariables,many instrumentalvariables,powerenvelope,weakinstruments. JELClassificationNumbers:C12,C30. 1...
Instrumental Variable Estimation with Heteroskedasticity and Many Instruments This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microec... NR Swanson,JC Chao,JA Hausman,... - 《Quantitative Economics》 ...
instrumentsarerelevant.Iftheinstrumentsareweak,sothatthesystemisnearly unidentifiedforagivensamplesize,thenthesamplingdistributioncanbequitedifferent fromitsGaussianlimit.Thisraisesapracticalproblem:underwhatcircumstancescanan appliedresearcherbeconfidentthatidentificationis“goodenough,”thatis,thatthe instrumentsarenot...