Instrumental variable estimation based on grouped data

DOI10.1111/J.1467-9574.2005.00296.XMaRDI QIDQ5313462zbMATH OpenOpenAlexFDO

Authors Paul A. Bekker, Jan van der Ploeg

Publication date 1 September 2005

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.2005.00296.x

zbMATH Keywords

generalized method of momentsnatural experimentslimited information maximum likelihoodlinear functional relationshipgroup asymptoticsmany-instruments asymptotics

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics (62P99)

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Cites work

• scientific article; zbMATH DE number 3647917 (Why is no real title available?)
• scientific article; zbMATH DE number 3980333 (Why is no real title available?)
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Choosing the Number of Instruments
• Estimating structural and functional relationships
• GMM inference when the number of moment conditions in large
• Grouped-data estimation and testing in simple labor-supply models
• Panel data from time series of cross-sections

Cited in

(20)

• Many instruments asymptotic approximations under nonnormal error distributions
• Estimation of models with grouped and ungrouped data by means of ``2SLS
• scientific article; zbMATH DE number 1843040 (Why is no real title available?)
• Estimation of regression coefficients in a restricted measurement error model using instrumental variables
• The robust F-statistic as a test for weak instruments
• Off-diagonal elements of projection matrices and dimension asymptotics
• Higher-order approximation of IV estimators with invalid instruments
• Pseudo Panel Data Models With Cohort Interactive Effects
• Linear model IV estimation when instruments are many or weak
• Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
• Properties of the CUE estimator and a modification with moments
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Instrumental variables: an econometrician's perspective
• Robust estimation with many instruments
• Jackknife instrumental variable estimation with heteroskedasticity
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Estimation of a model containing unobservable variables using grouped observations. An application to the permanent income hypothesis
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• GMM estimation of social interaction models with centrality

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