Qu Feng, Sombut Jaidee, Wenjie Wang
arXiv 30 Jun 2025 · Econometrics
arXiv:2506.23834 · PDF · DOI · OpenAlex · Extracted main text
We propose a weak-identification-robust test for linear instrumental variable (IV) regressions with high-dimensional instruments, whose number is allowed to exceed the sample size. In addition, our test is robust to general error dependence, such as network dependence and spatial dependence. The test statistic takes a self-normalized form and the asymptotic validity of the test is established by using random matrix theory. Simulation studies are conducted to assess the numerical performance of the test, confirming good size control and satisfactory testing power across a range of various error dependence structures.
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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 | Feng, Q., S. Jaidee, G. Pan, and W. Zhu (2024) Robust testing in high dimensional linear models self | 0.737 | 4 | 3 | 50% |
| 2 | Lee, D. S., J. McCrary, M. J. Moreira, and J. R. Porter (2022) Valid t-ratio inference for iv | 0.737 | 3 | 2 | 100% |
| Kleibergen | unmatched citation key Kleibergen | 0.644 | 4 | 1 | 100% |
| 4 | Newey, W. K. and F. Windmeijer (2009) Newey-Windmeijer(2009)Generalized method of moments with many weak moment conditions | 0.644 | 4 | 1 | 100% |
| 5 | Andrews, I., J. H. Stock, and L. Sun (2019) Andrews-Stock-Sun(2019)Weak instruments in instrumental variables regression: Theory and practice | 0.644 | 2 | 2 | 100% |
| 6 | Lim, D., W. Wang, and Y. Zhang (2024) A dimension-agnostic bootstrap anderson-rubin test for instrumental variable regressions | 0.644 | 2 | 2 | 100% |
| Carrasco and Tchuente | unmatched citation key Carrasco and Tchuente | 0.585 | 3 | 1 | 100% |
| Chao | unmatched citation key Chao | 0.585 | 3 | 1 | 100% |
| 9 | 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 | 0.585 | 3 | 1 | 100% |
| Guggenberger | unmatched citation key Guggenberger | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 240 scored citations. 4 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference in clustered IV models with many and weak instruments | 0.405 | 1 | 1 |