Granular Instrumental Variables in Large Panels: Identification and Inference Across Strong, Nearly Weak, and Weak GIV
大面板中的颗粒工具变量:强、近弱与弱工具下的识别和推断AI 解读 ↓
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大面板中的颗粒工具变量:强、近弱与弱工具下的识别和推断AI 解读 ↓
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I develop asymptotic theory for Granular Instrumental Variables (GIV) in large panels with both $N$ and $T$ growing. The granular instrument is constructed from individual shocks that must be estimated from the panel. I show that this estimation has a first-order effect on the asymptotic variance of the GIV estimator. Existing methods do not account for this effect, leading to incorrect standard errors and invalid inference. I derive corrected standard errors that deliver valid inference. I also characterize how instrument strength changes as $N$ grows. This yields strong, nearly-weak, and weak regimes for GIV. In particular, I identify a previously uncharacterised nearly-weak regime in which the instrument vanishes asymptotically, but GIV remains valid. If $T$ grows sufficiently fast relative to $N$, the estimator remains consistent and asymptotically normal at a rate slower than $\sqrt{T}$. When $N$ and $T$ grow proportionally, the estimator instead exhibits standard weak-instrument behavior. I apply the theory to estimate short-run demand and supply elasticities for copper, natural gas, and crude oil. Across the six elasticities, accounting for instrument estimation changes standard errors by up to a fifth.
聚类线性模型中的估计与排除限制
We study linear regression models with clustered data, high-dimensional controls, and intricate exclusion restrictions. We propose a correctly centered internal instrument IV estimator that accommodates a broad class of exclusion restrictions and allows within-cluster dependence. The estimator admits a simple leave-out interpretation and is computationally tractable. We derive a central limit theorem for the associated quadratic form and propose a robust variance estimator.…
干扰成分投影后的识别与信息
Empirical work often removes fixed effects, latent factors, or high-dimensional controls before estimating structural relationships. These transformations reduce confounding but may also remove identifying variation. We study linear panel IV after one equation-compatible nuisance projection under two-way dependence. The projected Jacobian determines which structural directions remain visible; the projected-score law determines their precision; and, on Gaussian fixed-rank…
静态面板工具变量模型的双重机器学习:方法与应用
Panel data methods are widely used in empirical analysis to address unobserved heterogeneity, but causal inference remains challenging when treatments are endogenous and confounding variables high-dimensional and potentially nonlinear. Standard instrumental variables (IV) estimators, such as two-stage least squares (2SLS), become unreliable when instrument validity requires flexibly conditioning on many covariates with potentially non-linear effects. This paper develops a…
弱工具变量、第一阶段异方差、稳健 F 检验与基于第一阶段残差的 GMM
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 design that even for very large values of the robust F-statistic, the standard 2SLS confidence intervals had large coverage distortions. This finding appears to discredit the robust F-statistic as a test for underidentification. However, it is shown here that large values of the robust F-statistic…
存在样本选择的动态面板数据模型估计
SUMMARY We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively weak assumptions about errors and permits avoiding the weak instruments problem associated with differencing. We also propose a simple test for selection bias that is based on…
持久数据下动态面板模型的 GMM 估计与推断
In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations…