OxTalks is Changing
Oxford Events, the new replacement for OxTalks, will launch on 16th March. From now until the launch of Oxford Events, new events cannot be published or edited on OxTalks while all existing records are migrated to the new platform. The existing OxTalks site will remain available to view during this period.
From 16th, Oxford Events will launch on a new website: events.ox.ac.uk, and event submissions will resume. You will need a Halo login to submit events. Full details are available on the Staff Gateway.
Inference with Many Weak Instruments (Joint with Liyang Sun)
We develop a concept of weak identification in linear IV models in which the number of instruments can grow at the same rate or slower than the sample size. We propose a jackknifed version of the classical weak identification-robust Anderson-Rubin (AR) test statistic. Large-sample inference based on the jackknifed AR is valid under heteroscedasticity and weak identification. The feasible version of this statistic uses a novel variance estimator. The test has uniformly correct size and good power properties. We also develop a pre-test for weak identification that is related to the size property of a Wald test based on the Jackknife Instrumental Variable Estimator (JIVE). This new pre-test is valid under heteroscedasticity and with many instruments.
Link to paper: economics.mit.edu/files/19652
Please sign up for meetings here: docs.google.com/spreadsheets/d/1GRwPBmtpUwstC4fdLZrnxfnARNYHedHykoRZG4Xq2Bo/edit#gid=0
Date:
26 February 2021, 14:15
Venue:
Held on Zoom
Speaker:
Anna Mikusheva (Massachusetts Institute of Technology)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Melis Clark
