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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 - Rev.

Persistent link: https://www.econbiz.de/10001759427

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2003 - [Elektronische Ressource]

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/10001848868

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 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/10014030882

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. - In: Journal of econometrics 137 (2007) 2, pp. 515-555

Persistent link: https://www.econbiz.de/10003441954

A reduced bias GMM-like estimator with reduced estimator dispersion

Hausman, Jerry A.; Menzel, Konrad; Lewis, Randall; … - 2007

Persistent link: https://www.econbiz.de/10003563522

A jackknife interpretation of the continuous updating estimator

Donald, Stephen G.; Newey, Whitney K. - In: Economics letters 67 (2000) 3, pp. 239-243

Persistent link: https://www.econbiz.de/10001473650

Undersmoothing and bias corrected functional estimation

Newey, Whitney K.; Hsieh, Fushing; Robins, James - 1998

Persistent link: https://www.econbiz.de/10001381656

Asymptotic bias and equivalence of GMM and GEL estimators

Newey, Whitney K.; Smith, Richard J. - 2001

Persistent link: https://www.econbiz.de/10001605472

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Newey, Whitney K. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777565

Twicing kernels and a small bias property of semiparametric estimators

Newey, Whitney K.; Hsieh, Fushing; Robins, James M. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 947-962

Persistent link: https://www.econbiz.de/10002095870

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