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Higher Order Approximation of IV Estimators with Invalid Instruments

Research output: Working paper

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Higher Order Approximation of IV Estimators with Invalid Instruments. / Kang, Byunghoon.
Lancaster: Lancaster University, Department of Economics, 2018. (Economics Working Papers Series).

Research output: Working paper

Harvard

Kang, B 2018 'Higher Order Approximation of IV Estimators with Invalid Instruments' Economics Working Papers Series, Lancaster University, Department of Economics, Lancaster.

APA

Kang, B. (2018). Higher Order Approximation of IV Estimators with Invalid Instruments. (Economics Working Papers Series). Lancaster University, Department of Economics.

Vancouver

Kang B. Higher Order Approximation of IV Estimators with Invalid Instruments. Lancaster: Lancaster University, Department of Economics. 2018 Dec. (Economics Working Papers Series).

Author

Kang, Byunghoon. / Higher Order Approximation of IV Estimators with Invalid Instruments. Lancaster : Lancaster University, Department of Economics, 2018. (Economics Working Papers Series).

Bibtex

@techreport{c3df49847a7641a2bf4c67c9e6b139b4,
title = "Higher Order Approximation of IV Estimators with Invalid Instruments",
abstract = "This paper considers the instrument selection problem in instrumentalvariable (IV) regression model when there is a large set of instruments with potential invalidity. I derive higher-order mean square error (MSE) approximation of two-stage least squares (2SLS), limited information maximum likelihood (LIML), Fuller (FULL) and bias-adjusted 2SLS (B2SLS) estimators with allowing for local violation of the instrument-exogeneity conditions. Based on the approximation to the higher-order MSE, I propose instrument selection criteria that are robust to potential invalidity of instruments. Furthermore, I also show the optimality results of instrument selection criteria in Donald and Newey (2001, Econometrica) under faster than N^(-1/2) locally invalid instruments specication.",
keywords = "Instrument selection, Invalid instruments, Many instruments, 2SLS, LIML, Fuller estimator, Bias-adjusted 2SLS",
author = "Byunghoon Kang",
year = "2018",
month = dec,
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Higher Order Approximation of IV Estimators with Invalid Instruments

AU - Kang, Byunghoon

PY - 2018/12

Y1 - 2018/12

N2 - This paper considers the instrument selection problem in instrumentalvariable (IV) regression model when there is a large set of instruments with potential invalidity. I derive higher-order mean square error (MSE) approximation of two-stage least squares (2SLS), limited information maximum likelihood (LIML), Fuller (FULL) and bias-adjusted 2SLS (B2SLS) estimators with allowing for local violation of the instrument-exogeneity conditions. Based on the approximation to the higher-order MSE, I propose instrument selection criteria that are robust to potential invalidity of instruments. Furthermore, I also show the optimality results of instrument selection criteria in Donald and Newey (2001, Econometrica) under faster than N^(-1/2) locally invalid instruments specication.

AB - This paper considers the instrument selection problem in instrumentalvariable (IV) regression model when there is a large set of instruments with potential invalidity. I derive higher-order mean square error (MSE) approximation of two-stage least squares (2SLS), limited information maximum likelihood (LIML), Fuller (FULL) and bias-adjusted 2SLS (B2SLS) estimators with allowing for local violation of the instrument-exogeneity conditions. Based on the approximation to the higher-order MSE, I propose instrument selection criteria that are robust to potential invalidity of instruments. Furthermore, I also show the optimality results of instrument selection criteria in Donald and Newey (2001, Econometrica) under faster than N^(-1/2) locally invalid instruments specication.

KW - Instrument selection

KW - Invalid instruments

KW - Many instruments

KW - 2SLS

KW - LIML

KW - Fuller estimator

KW - Bias-adjusted 2SLS

M3 - Working paper

T3 - Economics Working Papers Series

BT - Higher Order Approximation of IV Estimators with Invalid Instruments

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -