restrictions in linear models with many instruments. When the number of instruments increases at the same rate as the sample size … developed for situations with moderately many instruments, are also shown to be asymptotically invalid in this framework. We … robust to the numerosity of the moment conditions in the sense that they are valid for both few and many instruments. The …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It …

estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information …

for many instruments. We find that this adujstment is useful in empirical work, simulations, and in the asymptotic theory … (2002) weak instrument statistic that is robust to many instruments. …

This paper addresses the many instruments problem, i.e. (1) the trade-off between the bias and the efficiency of the … from the JSPS Fellowship. All remaining errors are mine. 1 Abstract This paper addresses the many instruments problem, i … with Spanish firm data is also provided. Keywords: Dynamic panel data, many instruments, generalized method of moments …

In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the …