arXiv 13 Jan 2022 · Econometrics · publishedJournal of Applied Econometrics (2025)
arXiv:2201.04811 · PDF · DOI · OpenAlex · Extracted main text
This paper considers an endogenous binary response model with many weak instruments. We employ a control function approach and a regularization scheme to obtain better estimation results for the endogenous binary response model in the presence of many weak instruments. Two consistent and asymptotically normally distributed estimators are provided, each of which is called a regularized conditional maximum likelihood estimator (RCMLE) and a regularized nonlinear least squares estimator (RNLSE). Monte Carlo simulations show that the proposed estimators outperform the existing ones when there are many weak instruments. We use the proposed estimation method to examine the effect of family income on college completion.
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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 | Carrasco, M. and G. Tchuente (2016) Efficient estimation with many weak instruments using regularization techniques | 1.000 | 13 | 4 | 100% |
| 2 | Bastian, J. and K. Michelmore (2018) The long-term impact of the earned income tax credit on children's education and employment outcomes | 1.000 | 13 | 3 | 100% |
| 3 | Hansen, C. and D. Kozbur (2014) Instrumental variables estimation with many weak instruments using regularized JIVE | 1.000 | 10 | 3 | 100% |
| 4 | Frazier, D. T., E. Renault, L. Zhang, and X. Zhao (2020) Weak identification in discrete choice models | 1.000 | 8 | 4 | 100% |
| 5 | Carrasco, M. and G. Tchuente (2015) Regularized LIML for many instruments | 1.000 | 7 | 4 | 100% |
| 6 | Belloni, A., D. Chen, V. Chernozhukov, and C. Hansen (2012) Sparse models and methods for optimal instruments with an application to eminent domain | 1.000 | 5 | 4 | 100% |
| 7 | Rivers, D. and Q. H. Vuong (1988) Limited information estimators and exogeneity tests for simultaneous probit models | 0.985 | 23 | 6 | 96% |
| 8 | Benatia, D., M. Carrasco, and J.-P. Florens (2017) Functional linear regression with functional response | 0.956 | 8 | 4 | 88% |
| 9 | Staiger, D. and J. H. Stock (1997) Instrumental variables regression with weak instruments | 0.928 | 4 | 3 | 100% |
| 10 | Seong, D. and W.-K. Seo (2023) Functional instrumental variable regression with an application to estimating the impact of immigration on native wages self | 0.928 | 4 | 3 | 100% |
Showing the top 10 of 57 scored citations.