Regularized LIML for many instruments (Q494179)

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Language	Label	Description	Also known as
English	Regularized LIML for many instruments	scientific article

Statements

scholarly article

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Regularized LIML for many instruments (English)

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zbMATH Open document ID

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10.1016/j.jeconom.2015.02.018

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Marine Carrasco

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Journal of Econometrics

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publication date

31 August 2015

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

heteroskedasticity

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high-dimensional models

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LIML

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many instruments

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MSE

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regularization methods

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2015.02.018

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The LIML estimator has finite moments!

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On the asymptotic optimality of the LIML estimator with possibly many instruments

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INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT

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Determining the Number of Factors in Approximate Factor Models

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Alternative Approximations to the Distributions of Instrumental Variable Estimators

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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

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Consumption and Portfolio Decisions when Expected Returns are Time Varying

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Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel

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A regularization approach to the many instruments problem

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Efficient estimation of general dynamic models with a continuum of moment conditions

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ON THE ASYMPTOTIC EFFICIENCY OF GMM

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GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS

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Legal Institutions, Sectoral Heterogeneity, and Economic Development

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Consistent Estimation with a Large Number of Weak Instruments

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ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

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Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation

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Higher moment estimators for linear regression models with errors in the variables

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Choosing the Number of Instruments

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Some Properties of a Modification of the Limited Information Estimator

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Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator

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A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS

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Instrumental variables estimation with many weak instruments using regularized JIVE

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Properties of the CUE estimator and a modification with moments

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Instrumental variable estimation with heteroskedasticity and many instruments

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Normal Multivariate Analysis and the Orthogonal Group

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Factor-GMM estimation with large sets of possibly weak instruments

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Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

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Linear integral equations.

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Kernel-weighted GMM estimators for linear time series models

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Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing

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Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

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Some Comments on C P

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The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

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Generalized Method of Moments With Many Weak Moment Conditions

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Instrumental variable estimation in the presence of many moment conditions

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Instrumental Variables Regression with Weak Instruments

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Weak convergence and empirical processes. With applications to statistics

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Mathematics(1 entry)

mardi Publication:494179

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