most citedWeak Instruments, First-Stage Heteroskedasticity, the Robust F-Test and a GMM Estimator with the Weight Matrix Based on First-Stage Residuals

2 citations · 3 across the 2 of their papers we have counts for

collaborators

2 papers

stat.ME2022★ 1 cited

Selecting Valid Instrumental Variables in Linear Models with Multiple Exposure Variables: Adaptive Lasso and the Median-of-Medians Estimator

Xiaoran Liang, Eleanor Sanderson, Frank Windmeijer

In a linear instrumental variables (IV) setting for estimating the causal effects of multiple confounded exposure/treatment variables on an outcome, we investigate the adaptive Las…

econ.EM2022★ 2 cited

Weak Instruments, First-Stage Heteroskedasticity, the Robust F-Test and a GMM Estimator with the Weight Matrix Based on First-Stage Residuals

Frank Windmeijer

This paper is concerned with the findings related to the robust first-stage F-statistic in the Monte Carlo analysis of Andrews (2018), who found in a heteroskedastic grouped-data d…