Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments
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 o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Springer India
2022
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| Online Access: | https://hdl.handle.net/1721.1/138790 |
| _version_ | 1826214208594771968 |
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| author | Hahn, Jinyong Hausman, Jerry |
| author_facet | Hahn, Jinyong Hausman, Jerry |
| author_sort | Hahn, Jinyong |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T16:01:49Z |
| format | Article |
| id | mit-1721.1/138790 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T16:01:49Z |
| publishDate | 2022 |
| publisher | Springer India |
| record_format | dspace |
| spelling | mit-1721.1/1387902022-01-05T03:02:55Z Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments Hahn, Jinyong Hausman, Jerry 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. 2022-01-04T13:42:02Z 2022-01-04T13:42:02Z 2021-12-15 2022-01-04T04:47:58Z Article http://purl.org/eprint/type/JournalArticle https://hdl.handle.net/1721.1/138790 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." en https://doi.org/10.1007/s40953-021-00262-y Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ The Author(s), under exclusive licence to The Indian Econometric Society application/pdf Springer India Springer India |
| spellingShingle | Hahn, Jinyong Hausman, Jerry Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title | Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title_full | Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title_fullStr | Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title_full_unstemmed | Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title_short | Problems with the Control Variable Approach in Achieving Unbiased Estimates in Nonlinear Models in the Presence of Many Instruments |
| title_sort | problems with the control variable approach in achieving unbiased estimates in nonlinear models in the presence of many instruments |
| url | https://hdl.handle.net/1721.1/138790 |
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