Minimum distance approach to inference with many instruments

DOI10.1016/j.jeconom.2018.01.004zbMath1387.62125arXiv1504.02911OpenAlexW1753760869MaRDI QIDQ1745618

Michal Kolesár

Publication date: 18 April 2018

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

Full work available at URL: https://arxiv.org/abs/1504.02911

zbMATH Keywords

confidence intervalsrandom effectsminimum distanceinstrumental variablesmisspecificationmany instrumentsincidental parameterslimited information maximum likelihoodbias-corrected two-stage least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (3)

A conditional linear combination test with many weak instruments ⋮ Instrumental variable estimation with first-stage heterogeneity ⋮ Robust estimation with many instruments

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