Search Results - subject:"Many instruments"

An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity

Kunitomo, Naoto - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 881-910

(LIML) estimator to improve its asymptotic properties as well as the small sample properties for many instruments and …

Persistent link: https://www.econbiz.de/10010848676

On the consistency of the LIML estimator of a spatial autoregressive model with many instruments

Liu, Xiaodong - In: Economics Letters 116 (2012) 3, pp. 472-475

many instruments. The LIML estimator is consistent when the number of instruments increases at a slower rate relative to …

Persistent link: https://www.econbiz.de/10011041811

Hahn–Hausman test as a specification test

Lee, Yoonseok; Okui, Ryo - In: Journal of Econometrics 167 (2012) 1, pp. 133-139

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman,...

Persistent link: https://www.econbiz.de/10010577514

A regularization approach to the many instruments problem

Carrasco, Marine - In: Journal of Econometrics 170 (2012) 2, pp. 383-398

This paper focuses on the estimation of a finite dimensional parameter in a linear model where the number of instruments is very large or infinite. In order to improve the small sample properties of standard instrumental variable (IV) estimators, we propose three modified IV estimators based on...

Persistent link: https://www.econbiz.de/10010594967

On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

Anderson, T.W.; Kunitomo, Naoto; Matsushita, Yukitoshi - In: Journal of Econometrics 165 (2011) 1, pp. 58-69

-econometric models with “many instruments” in the terminology of recent econometric literature. …

Persistent link: https://www.econbiz.de/10011052210

Instrumental Variable Estimation with Heteroskedasticity and Many Instruments

Swanson, Norman R.; Chao, John C.; Hausman, Jerry A.; … - Department of Economics, Rutgers University-New Brunswick - 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/10009372740

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity

Swanson, Norman R.; Chao, John C.; Hausman, Jerry A.; … - Department of Economics, Rutgers University-New Brunswick - 2011

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

Persistent link: https://www.econbiz.de/10009372749

Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments

Swanson, Norman R.; Chao, John C.; Hausman, Jerry A.; … - Department of Economics, Rutgers University-New Brunswick - 2011

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

Persistent link: https://www.econbiz.de/10009372772

Parameter orthogonalization and Bayesian inference with many instruments

Hahn, Jinyong; Hansen, Karsten - In: Economics Letters 112 (2011) 2, pp. 207-209

It is examined how Bayesian inference might proceed in models with many instruments. A new prior specification based on …

Persistent link: https://www.econbiz.de/10009146157

Higher order approximations of IV statistics that indicate their properties under weak or many instruments

Kleibergen, Frank - Econometric Society - 2004

We show that the higher order biases of instrumental variable statistics in the strong instrument case indicate the degeneracy of the first order asymptotic distributions of these statistics under weak or many instrument asymptotics. We express the higher order approximations using an estimator...

Persistent link: https://www.econbiz.de/10005328971