Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983), Bekker (1994), Angrist and Krueger (1995), Donald and Newey (2001), Hahn, Hausman, and Kuersteiner (2001), and Stock and Yogo (2003).

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Year of publication:	2003
Authors:	Swanson, Norman R. ; Chao, John C.
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	Schätztheorie \| Instrumentalvariablen-Schätzmethode \| Theorie \| CLT for bilinear forms \| instrumental variables \| k-class estimator \| local-to-zero framework \| pathwise asymptotics \| weak instruments

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Series:	Working Paper ; 2003-12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	37546770X [GVK] hdl:10419/23169 [Handle] RePEc:rut:rutres:200312 [RePEc]
Classification:	C13 - Estimation ; C31 - Cross-Sectional Models; Spatial Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263213