Reduced forms and weak instrumentation

• Main Author: PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Endogeneity; exact distribution; finite sample theory; moment existence; partial identification; reduced form; structural equation; unidentified structure; weak instrument; Econometrics; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/2051; https://ink.library.smu.edu.sg/context/soe_research/article/3050/viewcontent/Reduced_forms_and_weak_instrumentation.pdf
• Institution: Singapore Management University

This paper develops exact finite sample and asymptotic distributions for a class of reduced form estimators and predictors, allowing for the presence of unidentified or weakly identified structural equations. Weak instrument asymptotic theory is developed directly from finite sample results, unifyin...