arXiv 17 Mar 2021 · Econometrics · publishedEconometrics Journal (2022) · 6 citations (OpenAlex)
arXiv:2103.09621 · PDF · DOI · OpenAlex · Extracted main text
The relevance condition of Integrated Conditional Moment (ICM) estimators is significantly weaker than the conventional IV's in at least two respects: (1) consistent estimation without excluded instruments is possible, provided endogenous covariates are non-linearly mean-dependent on exogenous covariates, and (2) endogenous covariates may be uncorrelated with but mean-dependent on instruments. These remarkable properties notwithstanding, multiplicative-kernel ICM estimators suffer diminished identification strength, large bias, and severe size distortions even for a moderately sized instrument vector. This paper proposes a computationally fast linear ICM estimator that better preserves identification strength in the presence of multiple instruments and a test of the ICM relevance condition. Monte Carlo simulations demonstrate a considerably better size control in the presence of multiple instruments and a favourably competitive performance in general. An empirical example illustrates the practical usefulness of the estimator, where estimates remain plausible when no excluded instrument is used.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Escanciano, J. C (2018) A simple and robust estimator for linear regression models with strictly exogenous instruments | 1.000 | 21 | 4 | 100% |
| 2 | Escanciano, J. C (2006) A consistent diagnostic test for regression models using projections | 1.000 | 18 | 4 | 100% |
| 3 | Antoine, B. and P. Lavergne (2014) Conditional moment models under semi-strong identification | 1.000 | 15 | 4 | 100% |
| 4 | Domínguez, M. A. and I. N. Lobato (2004) Consistent estimation of models defined by conditional moment restrictions | 1.000 | 11 | 4 | 100% |
| 5 | Shao, X. and J. Zhang (2014) Martingale difference correlation and its use in high-dimensional variable screening | 1.000 | 6 | 3 | 100% |
| 6 | Choi, J., J. C. Escanciano, and J. Guo (2022) Generalized band spectrum estimation with an application to the new Keynesian Phillips Curve | 1.000 | 5 | 3 | 100% |
| 7 | Antoine, B. and X. Sun (2022) Partially linear models with endogeneity: a conditional moment-based approach | 0.874 | 5 | 2 | 100% |
| 8 | Bierens, H. J (1982) Consistent model specification tests | 0.843 | 3 | 3 | 100% |
| 9 | Kim, I., S. Balakrishnan, and L. Wasserman (2020) Robust multivariate nonparametric tests via projection averaging | 0.737 | 3 | 2 | 100% |
| 10 | Su, L. and X. Zheng (2017) A martingale-difference-divergence-based test for specification | 0.737 | 3 | 2 | 100% |
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