INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
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Publication:2995415
DOI10.1017/S0266466609990727zbMath1230.62148MaRDI QIDQ2995415
Publication date: 21 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62H12: Estimation in multivariate analysis
62J05: Linear regression; mixed models
Related Items
EFFICIENT ESTIMATION OF FACTOR MODELS, Asymptotic analysis of the squared estimation error in misspecified factor models, Regularized LIML for many instruments, Instrumental variables estimation with many weak instruments using regularized JIVE, TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
Cites Work
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- Choosing the Number of Instruments
- Determining the Number of Factors in the General Dynamic Factor Model
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- A Conditional Likelihood Ratio Test for Structural Models
- Determining the Number of Factors in Approximate Factor Models
- On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- The Generalized Dynamic Factor Model
