arXiv 25 Nov 2023 · Econometrics
arXiv:2311.14892 · PDF · DOI · OpenAlex · Extracted main text
Using modifications of Lindeberg's interpolation technique, I propose a new identification-robust test for the structural parameter in a heteroskedastic instrumental variables model. While my analysis allows the number of instruments to be much larger than the sample size, it does not require many instruments, making my test applicable in settings that have not been well studied. Instead, the proposed test statistic has a limiting chi-squared distribution so long as an auxiliary parameter can be consistently estimated. This is possible using machine learning methods even when the number of instruments is much larger than the sample size. To improve power, a simple combination with the sup-score statistic of Belloni et al. (2012) is proposed. I point out that first-stage F-statistics calculated on LASSO selected variables may be misleading indicators of identification strength and demonstrate favorable performance of my proposed methods in both empirical data and simulation study.
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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 | Gilchrist, D. S. and E. G. Sands (2016) Something to talk about: Social spillovers in movie consumption | 1.000 | 16 | 3 | 100% |
| 2 | 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 | 13 | 5 | 100% |
| 3 | Matsushita, Y. and T. Otsu (2022) A jackknife lagrange multiplier test with many weak instruments | 1.000 | 13 | 4 | 100% |
| 4 | Mikusheva, A. and L. Sun (2021, 12) (2021) Inference with many weak instruments | 1.000 | 13 | 4 | 100% |
| 5 | Kleibergen, F (2005) Testing parameters in gmm without assuming that they are identified | 1.000 | 12 | 4 | 100% |
| 6 | Angrist, J. D. and A. B. Krueger (1991) Does compulsory school attendance affect schooling and earnings? | 1.000 | 8 | 3 | 100% |
| 7 | Chernozhukov, V., D. Chetverikov, and K. Kato (2013) Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors | 1.000 | 7 | 4 | 100% |
| 8 | Kleibergen, F. (2002, 02) (2002) Pivotal statistics for testing structural parameters in instrumental variables regression | 1.000 | 7 | 3 | 100% |
| 9 | Andrews, I (2016) Conditional linear combination tests for weakly identified models | 1.000 | 6 | 4 | 100% |
| 10 | Belloni, A., V. Chernozhukov, D. Chetverikov, C. Hansen, and K. Kato (2018) High-dimensional econometrics and regularized gmm | 1.000 | 6 | 4 | 100% |
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