Many instruments asymptotic approximations under nonnormal error distributions

DOI10.1017/S0266466609100117MaRDI QIDQ3557553zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Asymptotic distributions of instrumental variables statistics with many instruments
• Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Cites work

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

Cited in

(16)

• Hahn-Hausman test as a specification test
• Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
• Regularized LIML for many instruments
• Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
• GMM estimation of social interaction models with centrality
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Jackknife instrumental variable estimation with heteroskedasticity
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Bootstrap inference for instrumental variable models with many weak instruments
• Off-diagonal elements of projection matrices and dimension asymptotics
• 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
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Asymptotic distributions of instrumental variables statistics with many instruments

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