Weak Instrument Bias in Impulse Response Estimators

Federal Reserve Bank of Dallas, Working Papers 2026

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Authors: Daniel J. Lewis, Karel Mertens, Federal Reserve Bank of Dallas
DOI: 10.24149/wp2601
Cited by: 1
References: 36

Abstract

This paper approximates the finite-sample distribution of impulse response function (IRF) estimators that are just-identified with a weak instrument using the conventional local-to-zero asymptotic framework.

Fields of Study & Subjects

Statistical Methods and Inference Distributed Sensor Networks and Detection Algorithms Control Systems and Identification

Publication details

Journal / source
Federal Reserve Bank of Dallas, Working Papers
Publisher
Federal Reserve Bank of Dallas
Volume
2026
Issue
2601
Publication date
1 January 2026