Many instruments asymptotic approximations under nonnormal error distributions

DOI10.1017/S0266466609100117zbMATH Open1202.62032OpenAlexW2127969728MaRDI QIDQ3557553FDOQ3557553

Martijn van Hasselt

Publication date: 23 April 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466609100117

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Stochastic Limit Theory
• 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
• Consistent Estimation with a Large Number of Weak Instruments
• Instrumental variable estimation based on grouped data
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Identification and Inference for Econometric Models

Cited In (14)

• On the consistency of the LIML estimator of a spatial autoregressive model with many instruments
• Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments
• Minimum distance approach to inference with many instruments
• Bootstrap inference for instrumental variable models with many weak instruments
• Off-diagonal elements of projection matrices and dimension asymptotics
• Regularized LIML for many instruments
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Second-order refinements for \(t\)-ratios with many instruments
• Jackknife instrumental variable estimation with heteroskedasticity
• Hahn-Hausman test as a specification test
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• GMM estimation of social interaction models with centrality
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS

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