The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models
19 Pages Posted: 9 Feb 2004
Date Written: February 2, 2004
Abstract
The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the Zero-Information-Limit-Condition (ZILC). When ZILC holds, the information or precision of parameter estimates is overestimated. We discuss how ZILC applies to models encountered in practice and show that spurious inference does occur when ZILC holds.
Keywords: Weak identification, hypothesis testing
JEL Classification: C120, C220, C300
Suggested Citation: Suggested Citation
Here is the Coronavirus
related research on SSRN
Recommended Papers
-
Instrumental Variables Regression with Weak Instruments
By Douglas Staiger and James H. Stock
-
Testing for Weak Instruments in Linear IV Regression
By James H. Stock and Motohiro Yogo
-
Testing for Weak Instruments in Linear IV Regression
By James H. Stock and Motohiro Yogo
-
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
By James H. Stock, Jonathan H. Wright, ...
-
Instrument Relevance in Multivariate Linear Models: A Simple Measure
By John Shea
-
By Charles R. Nelson and Richard Startz
-
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
By Charles R. Nelson and Richard Startz
-
A New Specification Test for the Validity of Instrumental Variables
By Jinyong Hahn and Jerry A. Hausman
-
Consistent Estimation with a Large Number of Weak Instruments
By John C. Chao and Norman R. Swanson
-
Does Head Start Make a Difference?
By Janet Currie and Duncan Thomas
