OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

DOI10.1017/S0266466608090300zbMath1253.62039MaRDI QIDQ3181948

Michael Jansson, Laura Chioda

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

Related Items

On the asymptotic optimality of the LIML estimator with possibly many instruments, A maximum likelihood method for the incidental parameter problem, Minimum distance approach to inference with many instruments, Robust estimation with many instruments, Jackknife instrumental variable estimation with heteroskedasticity

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