A Note on the Theme of Too Many Instruments
回顾了差分和系统GMM估计中工具变量过多导致的问题，包括过度拟合内生变量和弱化Hansen检验，并通过模拟和复制两篇经典论文展示了其危害。
Abstract The difference and system generalized method of moments (GMM) estimators are growing in popularity. As implemented in popular software, the estimators easily generate instruments that are numerous and, in system GMM, potentially suspect. A large instrument collection overfits endogenous variables even as it weakens the Hansen test of the instruments’ joint validity. This paper reviews the evidence on the effects of instrument proliferation, and describes and simulates simple ways to control it. It illustrates the dangers by replicating Forbes [ American Economic Review (2000) Vol. 90, pp. 869–887] on income inequality and Levine et al. [ Journal of Monetary Economics ] (2000) Vol. 46, pp. 31–77] on financial sector development. Results in both papers appear driven by previously undetected endogeneity.