A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
Top Cited Papers
- 1 October 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (4), 518-529
- https://doi.org/10.1198/073500102288618658
Abstract
Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), mo...Keywords
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