Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments
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40953_2021_262_ReferencePDF.pdf
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351.2 KB
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Author(s)
Hahn, Jinyong
Hausman, Jerry
Date Issued
December 2021
Journal
Journal of Quantitative Economics
Publisher
Springer India
Citation
Hahn, Jinyong and Hausman, Jerry. 2021. "Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments."
Version
Author's final manuscript
Abstract
Abstract
We present a pseudo-panel model and argue that the control variable approach is subject to the many instrument problem, since it uses the predicted value of the endogenous variable. We show how the bias can be analytically characterized. Finally, we demonstrate the problems of split sample cross fitting.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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Creative Commons Attribution-Noncommercial-Share Alike
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DOI of Published Version
https://doi.org/10.1007/s40953-021-00262-y
