21 citations · 29 across the 9 of their papers we have counts for
9 papers
Two-Sample IV: Efficient Two-Step Estimation and Tests for Overidentification and Weak-Instruments
Fatima Kasenally, Ruoxi Guan, Frank Windmeijer
Two-sample IV is a popular estimation method when the outcome and treatment variables are available in different samples, whereas instruments are available in both samples. The sta…
Best Feasible Conditional Critical Values for a More Powerful Subvector Anderson-Rubin Test
Jesse Hoekstra, Frank Windmeijer
For subvector inference in the linear instrumental variables model under homoskedasticity but allowing for weak instruments, Guggenberger, Kleibergen and Mavroeidis (2019) (GKM) pr…
Overidentification testing with weak instruments and heteroskedasticity
Stuart Lane, Frank Windmeijer
Exogeneity is key for IV estimators, which can assessed via overidentification (OID) tests. We discuss the Kleibergen-Paap (KP) rank test as a heteroskedasticity-robust OID test an…
The Robust F-Statistic as a Test for Weak Instruments
Frank Windmeijer
Montiel Olea and Pflueger (2013) proposed the effective F-statistic as a test for weak instruments in terms of the Nagar bias of the two-stage least squares (2SLS) estimator relati…
The Generalized Falsification Adaptive Set for Violations of the Exclusion Restriction and Exogeneity
Nicolas Apfel, Frank Windmeijer
The falsification adaptive set (FAS) as proposed by Masten and Poirier (2021) provides an identified set for a treatment effect when the baseline model is falsified, assuming inval…
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…
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…
On the instrumental variable estimation with many weak and invalid instruments
Yiqi Lin, Frank Windmeijer, Xinyuan Song +1
We discuss the fundamental issue of identification in linear instrumental variable (IV) models with unknown IV validity. With the assumption of the "sparsest rule", which is equiva…
Estimating Structural Mean Models with Multiple Instrumental Variables Using the Generalised Method of Moments
Paul S. Clarke, Tom M. Palmer, Frank Windmeijer
Instrumental variables analysis using genetic markers as instruments is now a widely used technique in epidemiology and biostatistics. As single markers tend to explain only a smal…