A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation

DOI10.1016/j.econlet.2013.06.004zbMath1284.62413OpenAlexW2093214587MaRDI QIDQ2446276

Vincent Arel-Bundock

Publication date: 16 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.06.004

zbMATH Keywords

stochastic approximationbias correctionindirect inferencetwo-stage least squaresweak instrument bias

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Stochastic approximation (62L20)

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Cites Work

• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Estimation of stable distributions by indirect inference
• Indirect inference for dynamic panel models
• Approximate bias correction in econometrics
• Discontinuities of weak instrument limiting distributions.
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• General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Some Properties of a Modification of the Limited Information Estimator
• Introduction to Stochastic Search and Optimization
• Robust Indirect Inference
• The stochastic root-finding problem
• Consistent Estimation with a Large Number of Weak Instruments
• A New Specification Test for the Validity of Instrumental Variables
• A Stochastic Approximation Method

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