Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments
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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.
Date issued
2021-12Department
Massachusetts Institute of Technology. Department of EconomicsJournal
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
ISSN
2364-1045
0971-1554