Efficient two-sample instrumental variable estimators with change points and near-weak identification
存在变点与近弱识别时的高效两样本工具变量估计
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient two-sample GMM estimators than the standard split-sample GMM, even in the presence of near-weak instruments. We also propose two tests to detect change points in the parameters of interest, depending on whether the first-stage is common or not.…