Asymptotic distributions of instrumental variables statistics with many instruments

James H. Stock, Motohiro Yogo

Research output: Chapter in Book/Report/Conference proceedingChapter

117 Scopus citations

Abstract

This paper extends Staiger and Stock’s (1997) weak instrument asymptotic approximations to the case of many weak instruments by modeling the number of instruments as increasing slowly with the number of observations. It is shown that the resulting “many weak instrument” approximations can be calculated sequentially by letting first the sample size, and then the number of instruments, tend to infinity. The resulting distributions are given for k-class estimators and test statistics.

Original languageEnglish (US)
Title of host publicationIdentification and Inference for Econometric Models
Subtitle of host publicationEssays in Honor of Thomas Rothenberg
PublisherCambridge University Press
Pages109-120
Number of pages12
ISBN (Electronic)9780511614491
ISBN (Print)9780521844413
DOIs
StatePublished - Jan 1 2005
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

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  • Cite this

    Stock, J. H., & Yogo, M. (2005). Asymptotic distributions of instrumental variables statistics with many instruments. In Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg (pp. 109-120). Cambridge University Press. https://doi.org/10.1017/CBO9780511614491.007