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)

Full work available at URL https://doi.org/10.2307/2951662

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A maximum likelihood method for the incidental parameter problem
The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion
Statistical inference in two-sample summary-data Mendelian randomization using robust adjusted profile score
Simple many-instruments robust standard errors through concentrated instrumental variables
Linear model IV estimation when instruments are many or weak
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
Minimum distance approach to inference with many instruments
On bootstrap validity for specification testing with many weak instruments
On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
A comparison of bias approximations for the two-stage least squares (2SLS) estimator
Approximate least squares estimation for spatial autoregressive models with covariates
Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
An instrumental variable estimator for mixed indicators: analytic derivatives and alternative parameterizations
Parameter orthogonalization and Bayesian inference with many instruments
Robust estimation with many instruments
Jackknife instrumental variable estimation with heteroskedasticity
Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
Consistent estimation of linear panel data models with measurement error
Many IVs estimation of dynamic panel regression models with measurement error
Factor-GMM estimation with large sets of possibly weak instruments
Efficient GMM estimation of spatial dynamic panel data models with fixed effects
Conditional moment models under semi-strong identification
Instrumental variables estimation with many weak instruments using regularized JIVE
Testing overidentifying restrictions with many instruments and heteroskedasticity
Instrumental variables: an econometrician's perspective
The optimal choice of moments in dynamic panel data models
An incidental parameters free inference approach for panels with common shocks
Second-order refinements for \(t\)-ratios with many instruments
Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Testing with many weak instruments
Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
Symmetry-based inference in an instrumental variable setting
A semi-parametric Bayesian approach to the instrumental variable problem
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
Testing the adequacy of conventional asymptotics in GMM
Tests of risk premia in linear factor models
Specification testing in models with many instruments
OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
Many instruments asymptotic approximations under nonnormal error distributions
The asymptotic distribution of the LIML estimator in a partially identified structural equation
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Long difference instrumental variables estimation for dynamic panel models with fixed effects
Finite-sample instrumental variables inference using an asymptotically pivotal statistic
Alternative asymptotics and the partially linear model with many regressors
A fast iterated bootstrap procedure for approximating the small-sample bias
Regularized LIML for many instruments
Inference in instrumental variable models with heteroskedasticity and many instruments
Cross-Sectional Dependence in Panel Data Analysis
Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
Instrumental variable estimation of factor models with possibly many variables
On the use of the Lasso for instrumental variables estimation with some invalid instruments
The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
Asymptotics of the principal components estimator of large factor models with weakly influential factors
Inference in regression models with many regressors
A regularization approach to the many instruments problem
The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
Testing under weak identification with conditional moment restrictions
AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
Alternative diff-in-diffs estimators with several pretreatment periods
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
LIML in the static linear panel data model
Efficient estimation with many weak instruments using regularization techniques
An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
GMM estimation in panel data models with measurement error
Bootstrap inference for instrumental variable models with many weak instruments
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Yet another look at the omitted variable bias
A conditional linear combination test with many weak instruments
Multi-Threshold Structural Equation Model
Culling the Herd of Moments with Penalized Empirical Likelihood
One instrument to rule them all: the bias and coverage of just-ID IV
Instrumental variable estimation with first-stage heterogeneity
Causality in econometrics: choice vs chance
A jackknife Lagrange multiplier test with many weak instruments
Residual-based IV estimation of dynamic panel data models with fixed effects
Wild bootstrap inference for instrumental variables regressions with weak and few clusters
A weighted average limited information maximum likelihood estimator
Pseudo Panel Data Models With Cohort Interactive Effects
Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
A Bayesian approach to Mendelian randomisation with dependent instruments
Instrumental variable model average with applications in Mendelian randomization
Testing for peer effects without specifying the network structure
Causal models for longitudinal and panel data: a survey
Inference with many instruments: when is Anderson-Rubin test still useful?
Identification- and many moment-robust inference via invariant moment conditions
Increasing the power of moment-based tests
On a preference-based instrumental variable approach in reducing unmeasured confounding-by-indication
The many weak instruments problem and Mendelian randomization
On the consistency of the LIML estimator of a spatial autoregressive model with many instruments
Sensitivity analysis and power in the presence of many weak instruments: application to the effect of incarceration on future earnings

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