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Weak Identification with Many Instruments
We propose a test that properly partials out many exogenous regressors while preserving the re-centering property of the jack-knife.
Linear Regression with Weak Exogeneity
We show that weak exogeneity in time series regressions with many controls may produce substantial biases and even render the least squares (OLS) estimator inconsistent.
GMM is Inadmissible Under Weak Identification
We consider estimation in moment condition models and show that under any bound on identification strength, asymptotically admissible (i. e. undominated) estimators in a wide class of estimation problems must be uniformly continuous in the sample moment function.
Optimal Decision Rules for Weak GMM
This paper studies optimal decision rules, including estimators and tests, for weakly identified GMM models.
Inference with Many Weak Instruments
Large-sample inference based on the jackknifed AR is valid under heteroscedasticity and weak identification.
