Search Results - subject:"k-class estimators"

Analytical finite sample econometrics : from A.L. Nagar to now

Bao, Yong; Ullah, Aman - In: Journal of quantitative economics 19 (2021), pp. 17-37

Persistent link: https://www.econbiz.de/10013441704

Finite sample bias corrected IV estimation for weak and many instruments

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

(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

(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/10011300710

Almost unbiased estimation in simultaneous equations models with strong and/or weak instruments

Iglesias, Emma M.; Phillips, Garry D. A. - 2011

combinations of k-class estimators for k < 1. In general, this yields estimators which are unbiased to order [T-1] and which … than 2SLS when the degree of overidentification of the system is larger than 8. Moreover, the combined k-class estimators …, both endogenous and exogenous variable parameter estimators are unbiased to order [T-2] and when implemented for k-class …

Persistent link: https://www.econbiz.de/10010288778

On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators

Chau, Tak Wai - In: Economics Letters 123 (2014) 3, pp. 333-335

–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors. …

Persistent link: https://www.econbiz.de/10010776618

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

The bias to order T-Â 2 for the general k-class estimator in a simultaneous equation model

Iglesias, Emma M.; Phillips, Garry D.A. - In: Economics Letters 109 (2010) 1, pp. 42-45

Kinal (1980) showed that k-class estimators for which kÂ <Â 1 possess all necessary higher moments. A bias …

Persistent link: https://www.econbiz.de/10008867054

Combining the Liu-type estimator and the principal component regression estimator

Inan, Deniz - In: Statistical Papers 56 (2015) 1, pp. 147-156

In this study a new two-parameter estimator which includes the ordinary least squares, the principal components regression (PCR) and the Liu-type estimator is proposed. Conditions for the superiority of this new estimator over the PCR, r–k class estimator and Liu-type estimator are derived....

Persistent link: https://www.econbiz.de/10011151888

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

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 …

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