On the instrumental variable estimation with many weak and invalid instruments
众多弱工具变量与无效工具变量下的工具变量估计
Abstract 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 equivalent to the plurality rule but becomes operational in computation algorithms, we investigate and prove the advantages of non-convex penalized approaches over other IV estimators based on two-step selections, in terms of selection consistency and accommodation for individually weak IVs.…