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Title: Many Instruments, Weak Instruments, and Microeconometric Practice

Citation Type: Miscellaneous

Publication Year: 2004

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Abstract: This paper shows that it is important to distinguish between many and weak instrument problems in applications. We find that using Bekker (1994) standard errors that account for many instruments, fixes the problems with Angrist and Krueger (1991). We also find that many applications are in a range where this fix is sufficient. To widen the applicability of these standard errors we give theoretical results for non Gaussian models with many and many weak instruments.

Url: https://www.asc.ohio-state.edu/de-jong.8/ACFCB.pdf

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Authors: Hansen, Christian; Hausman, Jerry; Newey, K, Whitney

Publisher: University of Chicago

Data Collections: IPUMS USA

Topics: Other

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