Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve
高维弱工具变量下的推断与新凯恩斯菲利普斯曲线
Inference on macroeconomic relations using instrumental variables (IVs) is often characterised by weak and high-dimensional IVs. I propose a weak-IV robust method that remains valid under dependent data, arbitrarily weak identification, and a number of IVs that can increase exponentially with the sample size. I show by simulation that using methods that are not robust to weak and high-dimensional IVs can lead to substantially biased inference, while the proposed test has…