Working Paper Number 125 August 2007 , revised May 2008 A Note on the Theme of Too Many Instruments By

@inproceedings{Roodman2012WorkingPN,
  title={Working Paper Number 125 August 2007 , revised May 2008 A Note on the Theme of Too Many Instruments By},
  author={David Malin Roodman},
  year={2012}
}
The Difference and System generalized method of moments (GMM) estimators are growing in popularity, thanks in part to specialized software. But as implemented in these packages, the estimators easily generate results by default that are at once invalid yet appear valid in specification tests. The culprit is their tendency to generate instruments that are a) numerous and, in System GMM, b) suspect. A large collection of instruments, even if individually valid, can be collectively invalid in… CONTINUE READING
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