Alternative Approximations to the Distributions of Instrumental Variable Estimators

DOI10.2307/2951662MaRDI QIDQ4301030zbMATH OpenFDO

Authors Paul A. Bekker

Publication date 18 September 1994

Published in Econometrica (Search for Journal in Brave)

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A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
Limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous
Many instruments asymptotic approximations under nonnormal error distributions
Minimum distance approach to inference with many instruments

Cited in

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

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