Simple many-instruments robust standard errors through concentrated instrumental variables

DOI10.1016/J.ECONLET.2016.09.017MaRDI QIDQ1668631zbMATH OpenOpenAlexFDO

Authors Tom Wansbeek, Paul A. Bekker

Publication date 29 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://research.rug.nl/en/publications/simple-manyinstruments-robust-standard-errors-through-concentrated-instrumental-variables(9d7b2acd-ded4-4369-aa12-9a04285e7ebb).html

zbMATH Keywords

concentrated instrumentsLIMLweak instruments

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Recommendations

• Robust estimation with many instruments
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• Inference in instrumental variable models with heteroskedasticity and many instruments
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• Instrumental variable estimation in the presence of many moment conditions
• Random Effects Estimators with many Instrumental Variables
• Robust estimation in the simple errors-in-variables model
• Consistent Estimation with a Large Number of Weak Instruments

Cites work

• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• scientific article; zbMATH DE number 3541818 (Why is no real title available?)
• Instrumental variable estimation with heteroskedasticity and many instruments
• Jackknife instrumental variable estimation with heteroskedasticity
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

Cited in

(1)

• ML and GMM with concentrated instruments in the static panel data model

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