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| Tekijä: | Hahn, J. Hausman, J. |
| Otsikko: | Weak Instruments: Diagnosis and Cures in Empirical Econometrics |
| Lehti: | American Economic Review
2003 : MAY, VOL. 93:2, p. 118-125 |
| Asiasana: | ECONOMETRIC MODELS ECONOMETRICS EMPIRICAL RESEARCH |
| Kieli: | eng |
| Tiivistelmä: | The authors question what the weak-instruments (WI) problem is and what causes are. Universal agreement does not exist on these questions. They define weak instruments by two features: two-stage least squares (2SLS) analysis is badly biased toward the ordinary least-squares (OLS) estimate, and alternative "unbiased" estimators such as limited-information maximum likelihood (LIML) may not solve the problem; and the standard (first-order) asymptotic distribution does not give an accurate framework for nference. Authors discuss in this paper a specification test for WI, a caution against using "no moments" estimators such as LIML in the WI situation, and suggestions for different estimators. They end with a caution of how "small biases" can become "large biases" in the WI situation. |
SCIMA