Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small

DOI10.1016/J.JECONOM.2006.06.011zbMATH Open1418.62532OpenAlexW1964292533MaRDI QIDQ280242FDOQ280242

Publication date: 9 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.06.011

Recommendations

Many instruments asymptotic approximations under nonnormal error distributions
Alternative Approximations to the Distributions of Instrumental Variable Estimators
Discontinuities of weak instrument limiting distributions.
Asymptotic distributions of instrumental variables statistics with many instruments
A comparison of bias approximations for the two-stage least squares (2SLS) estimator

two-stage least squares weak instruments $t$ approximation concentration parameter IV estimator simultaneous equations model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

Title not available (Why is that?)
The Bias of Instrumental Variable Estimators
Instrumental Variables Regression with Weak Instruments
Title not available (Why is that?)
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
Alternative Approximations to the Distributions of Instrumental Variable Estimators
Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
Consistent Estimation with a Large Number of Weak Instruments
Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
Title not available (Why is that?)
Asymptotic distributions of instrumental variables statistics with many instruments
Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
A General Approximation to the Distribution of Instrumental Variables Estimates
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
Bayesian and classical approaches to instrumental variable regression
Title not available (Why is that?)
On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
Identification and Lack of Identification
Simultaneous Equations and Canonical Correlation Theory
Title not available (Why is that?)
The Existence of Moments of k-Class Estimators
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions
Title not available (Why is that?)
Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
Title not available (Why is that?)

Cited In (8)

Many instruments asymptotic approximations under nonnormal error distributions
Title not available (Why is that?)
Discontinuities of weak instrument limiting distributions.
Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
Alternative Approximations to the Distributions of Instrumental Variable Estimators
Conceptual frameworks and experimental design in simultaneous equations
Assessing the magnitude of the concentration parameter in a simultaneous equations model
ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR

This page was built for publication: Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q280242)