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Cross-sectional averaging and instrumental variable estimation with many weak instruments

Kapetanios, George; Marcellino, Massimiliano - 2008

Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where instruments are either weak, in terms of correlations with the endogenous...

Persistent link: https://www.econbiz.de/10010284172

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide...

Persistent link: https://www.econbiz.de/10010284174

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010

homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

Persistent link: https://www.econbiz.de/10010277529

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011

homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

Persistent link: https://www.econbiz.de/10010282870

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

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

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

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2011

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

Persistent link: https://www.econbiz.de/10010282842

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10010282856

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

Chao, John C.; Swanson, Norman R. - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and … construct a number of bias corrected OLS and IV estimators, which we show to be consistent under a sequential asymptotic scheme …. These bias-corrected estimators are also robust, in the sense that they remain consistent in a conventional asymptotic setup …

Persistent link: https://www.econbiz.de/10010271942

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

Persistent link: https://www.econbiz.de/10005858020