Asymptotic distributions of instrumental variables statistics with many instruments

James H. Stock; Motohiro Yogo

doi:10.1017/CBO9780511614491.007

Asymptotic distributions of instrumental variables statistics with many instruments

James H. Stock, Motohiro Yogo

Research output: Chapter in Book/Report/Conference proceeding › Chapter

418 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 language	English (US)
Title of host publication	Identification and Inference for Econometric Models
Subtitle of host publication	Essays in Honor of Thomas Rothenberg
Publisher	Cambridge University Press
Pages	109-120
Number of pages	12
ISBN (Electronic)	9780511614491
ISBN (Print)	9780521844413
DOIs	https://doi.org/10.1017/CBO9780511614491.007
State	Published - Jan 1 2005
Externally published	Yes

All Science Journal Classification (ASJC) codes

General Economics, Econometrics and Finance

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10.1017/CBO9780511614491.007

Cite this

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Asymptotic distributions of instrumental variables statistics with many instruments

Abstract

All Science Journal Classification (ASJC) codes

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