Search Results - subject:"Many instruments"

Problems with the control variable approach in achieving unbiased estimates in nonlinear models in the presence of many instruments

Hahn, Jinyong; Hausman, Jerry A. - In: Journal of quantitative economics 19 (2021), pp. 39-58

Persistent link: https://www.econbiz.de/10013441705

Regularized empirical likelihood as a solution to the no moment problem : the linear case with many instruments

Chaussé, Pierre - 2017

Persistent link: https://www.econbiz.de/10011761610

Inference in instrumental variables models with heteroskedasticity and many instruments

Crudu, Federico; Mellace, Giovanni; Sándor, Zsolt - 2017

Persistent link: https://www.econbiz.de/10011853176

ML and GMM with concentrated instruments in the static panel data model

Bekker, Paul A.; Essen, Jelle van - In: Econometric reviews 39 (2020) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10012181529

Regularized LIML for many instruments

Carrasco, Marine; Tchuente, Guy - 2015

The use of many moment conditions improves the asymptotic efficiency of the instrumental variables estimators. However, in finite samples, the inclusion of an excessive number of moments increases the bias. To solve this problem, we propose regularized versions of the limited information maximum...

Persistent link: https://www.econbiz.de/10011445282

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew; Hausman, Jerry; Palmer, Christopher - 2015

presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … (1962) that dominates k-class estimators (including 2SLS), especially in the cases of weak and/or many instruments. We …

Persistent link: https://www.econbiz.de/10011445748

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

Persistent link: https://www.econbiz.de/10011300710

Regularized LIML for many instruments

Carrasco, Marine; Tchuente, Guy - 2015

Persistent link: https://www.econbiz.de/10011332999

Regularized LIML for many instruments

Tchuente, Guy; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Persistent link: https://www.econbiz.de/10011183774

Jackknife Instrumental Variable Estimation with Heteroskedasticity

Bekker, P.A.; Crudu, F. - Centro Ricerche Nord Sud (CRENoS) - 2013

weighs observations such that many- instruments consistency is guaranteed while the signal component in the data is … maintained. We show that this results in a smaller signal component in the many- instruments asymptotic variance when compared to … estimators that neglect a part of the signal to achieve consistency. Both many-instruments and many-weak- instruments asymptotic …

Persistent link: https://www.econbiz.de/10010860666