Minimum distance approach to inference with many instruments
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Publication:1745618
DOI10.1016/j.jeconom.2018.01.004zbMath1387.62125arXiv1504.02911OpenAlexW1753760869MaRDI QIDQ1745618
Publication date: 18 April 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02911
confidence intervalsrandom effectsminimum distanceinstrumental variablesmisspecificationmany instrumentsincidental parameterslimited information maximum likelihoodbias-corrected two-stage least squares
Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)
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A conditional linear combination test with many weak instruments ⋮ Instrumental variable estimation with first-stage heterogeneity ⋮ Robust estimation with many instruments
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