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

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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…