Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79281
Authors: 
Hansen, Christian
Hausman, Jerry
Newey, Whitney
Year of Publication: 
2006
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP19/06
Abstract: 
Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker (1994) to nonnormal disturbances, that adjust for many instruments. We find that this adujstment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number of instrumental variables grow as when the number of instruments is fixed. We also give a version of the Kleibergen (2002) weak instrument statistic that is robust to many instruments.
Subjects: 
Weak Instruments , Many Instruments , Standard Errors , Inference
JEL: 
C13
C21
C31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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