Search Results - subject:"Local-to-zero Framework"

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman Rasmus - School of Management, Yale University - 2004

adopted in this paper combines key features of the local-to-zero framework of Staiger and Stock (1997) and the many … consider a general local-to-zero framework which allows for an arbitrary degree of instrument weakness by modeling the first … weak instruments. Our results, thus, add to the findings of Staiger and Stock (1997) who study a local-to-zero framework …

Persistent link: https://www.econbiz.de/10005587193

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

Swanson, Norman R.; Chao, John C. - 2003

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),...

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

Consistent Estimation with a Large Number of Weak Instruments

Chao, John Chao; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005762818

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...

Persistent link: https://www.econbiz.de/10010276817

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Swanson, Norman R.; Chao, John C. - Econometric Society - 2004

This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly-identified heteroskedastic IV regression. In particular, it is first shown that, in a framework with many weak instruments, consistency and asymptotic normality can be obtained when...

Persistent link: https://www.econbiz.de/10005342304

Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments

Swanson, Norman R.; Chao, John C. - Econometric Society - 2004

This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...

Persistent link: https://www.econbiz.de/10005329031

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

Chao, John C.; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

Persistent link: https://www.econbiz.de/10005839103

Consistent Estimation with a Large Number of Weak Instruments

Chao, John; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

Persistent link: https://www.econbiz.de/10005260563