INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
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Publication:2995415
DOI10.1017/S0266466609990727zbMATH Open1230.62148MaRDI QIDQ2995415FDOQ2995415
Publication date: 21 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Recommendations
- Selecting instrumental variables in a data rich environment
- Instrumental variables estimation and inference in the presence of many exogenous regressors
- Instrumental variable estimation in the presence of many moment conditions
- Instrumental variable estimation of nonseparable models
- Instrumental variables estimation with flexible distributions
- Nonparametric instrumental variable estimation in practice
- INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
- Instrumental variable estimation with heteroskedasticity and many instruments
- Instrumental Variable Estimation of Nonparametric Models
- Applied nonparametric instrumental variables estimation
Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Forecasting Using Principal Components From a Large Number of Predictors
- Choosing the Number of Instruments
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- The Generalized Dynamic Factor Model
- Determining the Number of Factors in the General Dynamic Factor Model
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Specification Tests in Econometrics
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- Consistent Estimation with a Large Number of Weak Instruments
- A Conditional Likelihood Ratio Test for Structural Models
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
- Discontinuities of weak instrument limiting distributions.
- On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation
- Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables
Cited In (26)
- FACTORISABLE MULTITASK QUANTILE REGRESSION
- Identification of Time-Varying Factor Models
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
- Conditional inference in \textit{cis}-Mendelian randomization using weak genetic factors
- Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
- Factor instrumental variable quantile regression
- Estimation and inference of change points in high-dimensional factor models
- Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets
- Econometric estimation with high-dimensional moment equalities
- Cross-Sectional Dependence in Panel Data Analysis
- Regularized LIML for many instruments
- Parameters measuring bank risk and their estimation
- A Ridge-Regularized Jackknifed Anderson-Rubin Test
- Life-cycle consumption and life insurance: empirical evidence from Italian survey
- Instrumental variables: an econometrician's perspective
- EFFICIENT ESTIMATION OF FACTOR MODELS
- A regularization approach to the many instruments problem
- Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
- Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
- Multi-criteria optimization in regression
- Efficient estimation of nonstationary factor models
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
- High-dimensional linear models with many endogenous variables
- Asymptotic analysis of the squared estimation error in misspecified factor models
- LIMIT THEOREMS FOR FACTOR MODELS
- Instrumental variables estimation with many weak instruments using regularized JIVE
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