A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
综述了广义矩方法中弱工具变量导致弱识别的问题，说明其如何使统计量分布偏离正态、误导推断，并介绍了线性IV模型和非线性GMM中检测与处理弱工具变量的现有方法。
Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM. KEY WORDS: