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Simple many-instruments robust standard errors through concentrated instrumental variables

Paul Bekker and Tom Wansbeek

Economics Letters, 2016, vol. 149, issue C, 52-55

Abstract: In a weak and many instruments setting, 2SLS can be severely biased towards OLS and the standard errors can be way too small. LIML is an attractive alternative, especially when the many-instruments robust (MIR) standard errors are used as proposed by Bekker (1994).

Keywords: LIML; Weak instruments; Concentrated instruments (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:ecolet:v:149:y:2016:i:c:p:52-55