Search Results - subject:"Many instruments"

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework …

Persistent link: https://www.econbiz.de/10010282856

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011

This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data …. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …

Persistent link: https://www.econbiz.de/10010282870

Bootstrap inference for instrumental variable models with many weak instruments

Wang, Wenjie; Melou, Maximilien Kaffo - In: Journal of econometrics 192 (2016) 1, pp. 231-268

Persistent link: https://www.econbiz.de/10011617149

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010

Persistent link: https://www.econbiz.de/10010277529

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2010

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework …

Persistent link: https://www.econbiz.de/10010285790

Parsimonious estimation with many instruments

Groen, Jan J. J.; Kapetanios, George - 2009

We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense,...

Persistent link: https://www.econbiz.de/10010287075

Blunt Instruments: On Establishing the Causes of Economic Growth

Clemens, Michael; Bazzi, Samuel - 2009

Concern has intensified in recent years that many instrumental variables used in widely-cited growth regressions may be invalid, weak, or both. Attempts to remedy this general problem remain inadequate. We demonstrate that a range of published growth regressions may contain spurious results...

Persistent link: https://www.econbiz.de/10004991792

A Specification Test for Instrumental Variables Regression with Many Instruments

Lee, Yoonseok; Okui, Ryo - Cowles Foundation for Research in Economics, Yale University - 2009

This paper considers specification testing for instrumental variables estimation in the presence of many instruments …

Persistent link: https://www.econbiz.de/10008509394

Jackknife instrumental variable estimation with heteroskedasticity

Bekker, Paul A.; Crudu, Federico - In: Journal of Econometrics 185 (2015) 2, pp. 332-342

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 …

Persistent link: https://www.econbiz.de/10011190708

Identification and inference with many invalid instruments

Kolesár, Michal; Chetty, Raj; Friedman, John N; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 474-484

Persistent link: https://www.econbiz.de/10011403221