Efficient estimation with many weak instruments using regularization techniques
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Recommendations
- Regularized LIML for many instruments
- A regularization approach to the many instruments problem
- Instrumental variables estimation with many weak instruments using regularized JIVE
- Consistent Estimation with a Large Number of Weak Instruments
- Linear model IV estimation when instruments are many or weak
Cites work
- A regularization approach to the many instruments problem
- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
- Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- An expository note on the existence of moments of Fuller and HFUL estimators
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- Asymptotic distributions of instrumental variables statistics with many instruments
- Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
- Combining two consistent estimators
- Consistent Estimation with a Large Number of Weak Instruments
- CUE with many weak instruments and nearly singular design
- Determining the Number of Factors in Approximate Factor Models
- Efficiency Bounds for Semiparametric Regression
- Efficient Instrumental Variables Estimation of Nonlinear Models
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalization of GMM to a continuum of moment conditions
- Generalized Method of Moments With Many Weak Moment Conditions
- GMM with Many Moment Conditions
- Higher moment estimators for linear regression models with errors in the variables
- Instrumental variable estimation with heteroskedasticity and many instruments
- Instrumental Variables Regression with Weak Instruments
- On the asymptotic efficiency of GMM
- Properties of the CUE estimator and a modification with moments
- Regularized LIML for many instruments
- Some Properties of a Modification of the Limited Information Estimator
- Sparse models and methods for optimal instruments with an application to eminent domain
- Testing overidentifying restrictions with many instruments and heteroskedasticity
Cited in
(9)- Instrumental variables estimation with many weak instruments using regularized JIVE
- Regularized LIML for many instruments
- Inference with Many Weak Instruments
- Overcoming the Many Weak Instrument Problem Using Normalized Principal Components
- A regularization approach to the many instruments problem
- Consistent Estimation with a Large Number of Weak Instruments
- Model Selection and Shrinkage: An Overview
- Constrained k-class Estimators in the Presence of Weak Instruments
- Weak identification and estimation of social interaction models
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