Instrumental variable estimation of factor models with possibly many variables

DOI10.1080/03610918.2018.1423690MaRDI QIDQ5085967zbMATH OpenOpenAlexFDO

Authors Kazuhiko Hayakawa, Qi Sun

Publication date 30 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1423690

zbMATH Keywords

factor modelheteroskedasticityinstrumental variablesmany instruments

Mathematics Subject Classification ID

Statistics (62-XX) Estimation in multivariate analysis (62H12)

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Cites work

• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• An alternative two stage least squares (2SLS) estimator for latent variable equations
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Constructing optimal instruments by first-stage prediction averaging
• Econometrics and psychometrics: A survey of communalities
• Estimating linear statistical relationships
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• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Factor analysis by instrumental variables methods
• scientific article; zbMATH DE number 3940575 (Why is no real title available?)
• Instrumental variable estimation with heteroskedasticity and many instruments
• Instrumental variables in factor analysis
• Jackknife instrumental variable estimation with heteroskedasticity
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Some Properties of a Modification of the Limited Information Estimator
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Estimation of Economic Relationships using Instrumental Variables

Cited in

(3)

• Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
• A factored form of the instrumental variable algorithm
• Instrumental variables in structural equation modelling: an application on the impact of labour factors on health and standard of livings

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