MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
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Publication:3557553
DOI10.1017/S0266466609100117zbMath1202.62032OpenAlexW2127969728MaRDI QIDQ3557553
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
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
Related Items (10)
Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments ⋮ ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ Minimum distance approach to inference with many instruments ⋮ On the consistency of the LIML estimator of a spatial autoregressive model with many instruments ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ On the asymptotic optimality of the LIML estimator with possibly many instruments ⋮ GMM estimation of social interaction models with centrality ⋮ Hahn-Hausman test as a specification test ⋮ Jackknife instrumental variable estimation with heteroskedasticity
Cites Work
- Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- 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
- Stochastic Limit Theory
- Instrumental variable estimation based on grouped data
- Consistent Estimation with a Large Number of Weak Instruments
- Identification and Inference for Econometric Models
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