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econ.EM2020
Optimal Decision Rules for Weak GMM
Isaiah Andrews, Anna Mikusheva
This paper studies optimal decision rules, including estimators and tests, for weakly identified GMM models. We derive the limit experiment for weakly identified GMM, and propose a…
econ.EM2020★ 4 cited
Inference with Many Weak Instruments
Anna Mikusheva, Liyang Sun
We develop a concept of weak identification in linear IV models in which the number of instruments can grow at the same rate or slower than the sample size. We propose a jackknifed…