Weak instruments and empirical likelihood: A discussion of the papers by D. W. K. Andrews and J. H. Stock and Y. Kitamura

Abstract

INTRODUCTION These two papers represent the fruition of important and thorough investigations undertaken by the authors of their respective fields of enquiry. I feel that they will add considerably to our understanding of these topics. Before describing the contents of my discussion I initially and briefly outline the contributions of both sets of authors. Andrews and Stock (2005), henceforth referred to as AS, continues the program of research initiated with the papers by Moreira (2001, 2003) through Andrews, Moriera, and Stock (2004), henceforth AMS. Like those contributions, this paper is primarily concerned with the weak instrument problem for the classical two variable linear simultaneo..