Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments

Jinyong Hahn and Jerry Hausman ()
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Jerry Hausman: MIT Economics

Journal of Quantitative Economics, 2021, vol. 19, issue 1, No 4, 39-58

Abstract: Abstract We present a pseudo-panel model and argue that the control variable approach is subject to the many instrument problem, since it uses the predicted value of the endogenous variable. We show how the bias can be analytically characterized. Finally, we demonstrate the problems of split sample cross fitting.

Keywords: Control variable; Many instruments; Nonlinear models (search for similar items in EconPapers)
JEL-codes: C33 C36 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s40953-021-00262-y

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