arXiv 27 Nov 2023 · Econometrics
arXiv:2311.15932 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes three novel test procedures that yield valid inference in an environment with many weak instrumental variables (MWIV). It is observed that the t statistic of the jackknife instrumental variable estimator (JIVE) has an asymptotic distribution that is identical to the two-stage-least squares (TSLS) t statistic in the just-identified environment. Consequently, test procedures that were valid for TSLS t are also valid for the JIVE t. Two such procedures, i.e., VtF and conditional Wald, are adapted directly. By exploiting a feature of MWIV environments, a third, more powerful, one-sided VtF-based test procedure can be obtained.
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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 | Mikusheva, A. and L. Sun (2022) Inference with many weak instruments | 1.000 | 17 | 4 | 100% |
| 2 | Chao, J. C., N. R. Swanson, J. A. Hausman, W. K. Newey, and T. Woute… (2012) Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments | 1.000 | 6 | 3 | 100% |
| 3 | Matsushita, Y. and T. Otsu (2022) A jackknife Lagrange multiplier test with many weak instruments | 1.000 | 5 | 3 | 100% |
| 4 | Angrist, J. D., G. W. Imbens, and A. B. Krueger (1999) Jackknife instrumental variables estimation | 0.811 | 4 | 2 | 100% |
| 5 | Moreira, M. J (2003) A conditional likelihood ratio test for structural models | 0.737 | 3 | 2 | 100% |
| 6 | Stock, J. H. and M. Yogo (2005) Testing for Weak Instruments in Linear IV Regression, in | 0.644 | 2 | 2 | 100% |
| 7 | Autor, D., A. Kostl, M. Mogstad, and B. Setzler (2019) Disability benefits, consumption insurance, and household labor supply | 0.511 | 2 | 1 | 100% |
| 8 | Bhuller, M., G. B. Dahl, K. V. Lken, and M. Mogstad (2020) Incarceration, recidivism, and employment | 0.511 | 2 | 1 | 100% |
| 9 | Dobbie, W., J. Goldin, and C. S. Yang (2018) The effects of pre-trial detention on conviction, future crime, and employment: Evidence from randomly assigned judges | 0.511 | 2 | 1 | 100% |
| 10 | Kling, J. R (2006) Incarceration length, employment, and earnings | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 27 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Jackknife Instrumental Variable Inference | 0.511 | 2 | 1 |
| 2 | An Empirical Comparison of Weak-IV-Robust Procedures in Just-Identified Models | 0.405 | 1 | 1 |