Alternative Approximations to the Distributions of Instrumental Variable Estimators

DOI10.2307/2951662zbMATH Open0795.62102MaRDI QIDQ4301030FDOQ4301030

Authors: Paul A. Bekker 

Publication date: 18 September 1994

Published in: Econometrica (Search for Journal in Brave)

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zbMATH Keywords

momentsMonte Carloinstrumental variablesordinary least squareslimit distributionsnormalitylimited information maximum likelihoodshrinkage estimatorasymptotic approximationsPitman nearnessparameter sequencesingle equationfirst-order approximationsmethod-of-moments estimatorsnew approximate confidence regions

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Cited In (only showing first 100 items - show all)

• Many instruments asymptotic approximations under nonnormal error distributions
• Consistent estimation of linear panel data models with measurement error
• Many IVs estimation of dynamic panel regression models with measurement error
• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
• Efficient estimation with many weak instruments using regularization techniques
• On the consistency of the LIML estimator of a spatial autoregressive model with many instruments
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• A comparison of bias approximations for the two-stage least squares (2SLS) estimator
• Testing with many weak instruments
• Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
• The asymptotic distribution of the LIML estimator in a partially identified structural equation
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Testing under weak identification with conditional moment restrictions
• The optimal choice of moments in dynamic panel data models
• Cross-sectional averaging and instrumental variable estimation with many weak instruments
• Symmetry-based inference in an instrumental variable setting
• A semi-parametric Bayesian approach to the instrumental variable problem
• Tests of risk premia in linear factor models
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Conditional moment models under semi-strong identification
• Hypothesis testing in linear regression when \(k/n\) is large
• On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
• Cross-Sectional Dependence in Panel Data Analysis
• Regularized LIML for many instruments
• Instrument endogeneity and identification-robust tests: some analytical results
• Finite-sample instrumental variables inference using an asymptotically pivotal statistic
• Simple many-instruments robust standard errors through concentrated instrumental variables
• Linear model IV estimation when instruments are many or weak
• Yet another look at the omitted variable bias
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Specification testing in models with many instruments
• Properties of the CUE estimator and a modification with moments
• Instrumental variables: an econometrician's perspective
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• A maximum likelihood method for the incidental parameter problem
• The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion
• Testing endogeneity with high dimensional covariates
• A doubly corrected robust variance estimator for linear GMM
• Robust estimation with many instruments
• A regularization approach to the many instruments problem
• Jackknife instrumental variable estimation with heteroskedasticity
• Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Alternative asymptotics and the partially linear model with many regressors
• Factor-GMM estimation with large sets of possibly weak instruments
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Instrumental variable estimation in the presence of many moment conditions
• Hahn-Hausman test as a specification test
• The Hausman test and weak instruments
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• Statistical inference in two-sample summary-data Mendelian randomization using robust adjusted profile score
• On the use of the Lasso for instrumental variables estimation with some invalid instruments
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• GMM estimation in panel data models with measurement error
• Instrumental variables estimation with many weak instruments using regularized JIVE
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
• GMM estimation of social interaction models with centrality
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Inference in regression models with many regressors
• Residual-based IV estimation of dynamic panel data models with fixed effects
• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
• On bootstrap validity for specification testing with many weak instruments
• A fast iterated bootstrap procedure for approximating the small-sample bias
• A conditional linear combination test with many weak instruments
• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• ML and GMM with concentrated instruments in the static panel data model
• Sequential and efficient GMM estimation of dynamic short panel data models
• A weighted average limited information maximum likelihood estimator
• Minimum distance approach to inference with many instruments
• Approximate least squares estimation for spatial autoregressive models with covariates
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Bootstrap inference for instrumental variable models with many weak instruments
• Jackknife estimation of a cluster-sample IV regression model with many weak instruments
• Alternative diff-in-diffs estimators with several pretreatment periods
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• LIML in the static linear panel data model
• The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
• Multi-Threshold Structural Equation Model
• Culling the Herd of Moments with Penalized Empirical Likelihood
• Pseudo Panel Data Models With Cohort Interactive Effects
• A Bayesian approach to Mendelian randomisation with dependent instruments
• Instrumental variable model average with applications in Mendelian randomization
• Parameter orthogonalization and Bayesian inference with many instruments
• Instrumental variable estimation with first-stage heterogeneity
• One instrument to rule them all: the bias and coverage of just-ID IV
• Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
• An incidental parameters free inference approach for panels with common shocks
• Second-order refinements for \(t\)-ratios with many instruments
• Instrumental variable estimation of factor models with possibly many variables
• An instrumental variable estimator for mixed indicators: analytic derivatives and alternative parameterizations
• Testing the adequacy of conventional asymptotics in GMM
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS

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