Search Results - subject:"weak instruments"

Asymptotics of non-linear lasso type estimators

caner, mehmet - Econometric Society - 2004

identification problem introduced by weak instruments. When the instruments are weak, we obtain asymptotically normal limits although …

Persistent link: https://www.econbiz.de/10005328987

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

equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality … under situations where the problem of weak instruments is more severe than that assumed in previous papers employing a many …

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

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005750193

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic …

Persistent link: https://www.econbiz.de/10005839103

Using GMM when testing for a unit root in panels where the time-series dimension is fixed

Madsen, Edith - Centre for Applied Microeconometrics (CAM), Økonomisk … - 2003

In this paper we investigate GMM-based unit root inference in an autoregressive panel data model with individual-specific levels. We consider tests based on GMM estimators of the AR parameter and moment condition tests. The limiting distributions of the corresponding test statistics are derived...

Persistent link: https://www.econbiz.de/10005232971

GMM Estimation of Empirical Growth Models

Bond, Stephen Roy; Hoeffler, Anke; Temple, Jonathan - C.E.P.R. Discussion Papers - 2001

lagged levels of the series provide only weak instruments for subsequent first-differences. Revisiting the work of Caselli …

Persistent link: https://www.econbiz.de/10005504299

Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments

Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001

-square distribution at the true values of the parameters is preserved in the presence of weak instruments. …

Persistent link: https://www.econbiz.de/10005345583

Improved Inference for the Instrumental Variable Estimator

Startz, Richard; Nelson, Charles; Zivot, Eric - EconWPA - 1999

poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard …

Persistent link: https://www.econbiz.de/10005119135

Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Nelson, Charles R.; Startz, Richard; Zivot, Eric - EconWPA - 1996

We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald …

Persistent link: https://www.econbiz.de/10005407967

Dynamic panels with predetermined regressors : likelihood-based estimation and Bayesian averaging with an application to cross-country growth

Moral-Benito, Enrique

En este documento se analiza la estimación por máxima verosimilitud de modelos lineales de datos de panel con efectos fijos y regresores endógenos. El estimador máximo verosímil resultante es asintóticamente equivalente a estimadores de panel por el Método Generalizado de Momentos...

Persistent link: https://www.econbiz.de/10012548701