GMM , Weak Instruments , and Weak Identification

@inproceedings{Stock2002GMMW,
  title={GMM , Weak Instruments , and Weak Identification},
  author={James H. Stock and Kennedy and Motohiro Yogo},
  year={2002}
}
Weak instruments arise when the instruments in linear IV regression are weakly correlated with the included endogenous variables. In nonlinear GMM, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to non-normal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and… CONTINUE READING
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