Estimation With Many Instrumental Variables
针对使用多个有效工具变量时标准推断方法失效的问题，给出了修正标准误，并提供了对弱工具变量统计量的稳健版本，适用于实证研究和模拟。
Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this adjustment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number of instrumental variables grows as when the number of instruments is fixed. We also give a version of the Kleibergen weak instrument statistic that is robust to many instruments.