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

DOI10.1016/J.JECONOM.2005.09.002zbMath1360.62377OpenAlexW2011606887MaRDI QIDQ276930

Norman R. Swanson, John C. Chao

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2003-15.pdf

zbMATH Keywords

confluent hypergeometric functionLaplace approximationweak instrumentslocal-to-zero asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (10)

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ Testing with many weak instruments ⋮ A comparison of bias approximations for the two-stage least squares (2SLS) estimator ⋮ MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS ⋮ GMM estimation of social interaction models with centrality ⋮ Simple estimators and inference for higher-order stochastic volatility models ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques ⋮ Reduced forms and weak instrumentation ⋮ On the relevance of weaker instruments ⋮ Discontinuities of weak instrument limiting distributions.

Cites Work

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