OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
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Publication:3181948
DOI10.1017/S0266466608090300zbMath1253.62039MaRDI QIDQ3181948
Publication date: 30 September 2009
Published in: Econometric Theory (Search for Journal in Brave)
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62H12: Estimation in multivariate analysis
Related Items
On the asymptotic optimality of the LIML estimator with possibly many instruments, A maximum likelihood method for the incidental parameter problem, Minimum distance approach to inference with many instruments, Robust estimation with many instruments, Jackknife instrumental variable estimation with heteroskedasticity, Second-order refinements for \(t\)-ratios with many instruments
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