In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of...

This paper considers model averaging as a way to construct optimal instruments for the two-stage least squares (2SLS), limited information maximum likelihood (LIML), and Fuller estimators in the presence of many instruments. We propose averaging across least squares predictions of the endogenous...