Choosing the Number of Instruments
From MaRDI portal
Publication:4531032
DOI10.1111/1468-0262.00238zbMATH Open1021.91047OpenAlexW2000901237MaRDI QIDQ4531032FDOQ4531032
Authors: Stephen G. Donald, Whitney Newey 
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/63410
Recommendations
- Choosing the optimal set of instruments from large instrument sets
- Choosing instrumental variables in conditional moment restriction models
- Selecting the Best Instrumental Variables Estimator
- A Consistent Method for the Selection of Relevant Instruments
- Instrumental Variables Regression with Weak Instruments
Point estimation (62F10) Sampling theory, sample surveys (62D05) Statistical methods; economic indices and measures (91B82)
Cited In (85)
- Generalized Least Squares Model Averaging
- Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
- Efficient estimation using the characteristic function
- On the asymptotic efficiency of GMM
- Consistent estimation of linear panel data models with measurement error
- Selecting instrumental variables in a data rich environment
- Instrumental variable estimation based on grouped data
- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Asymptotic properties of the Hahn-Hausman test for weak-instruments
- Choosing instrumental variables in conditional moment restriction models
- 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
- Averaging of an increasing number of moment condition estimators
- Testing with many weak instruments
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Linear instrumental variables model averaging estimation
- Minimum distance approach to inference with many instruments
- Selecting the Best Instrumental Variables Estimator
- 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
- Bootstrap inference for instrumental variable models with many weak instruments
- Efficient forecast tests for conditional policy forecasts
- An efficient marginal integration estimator of a semiparametric additive modelling
- A bootstrap approach to moment selection
- Choosing the optimal set of instruments from large instrument sets
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
- Regularized LIML for many instruments
- Instrument endogeneity and identification-robust tests: some analytical results
- A Consistent Method for the Selection of Relevant Instruments
- Using multiple genetic variants as instrumental variables for modifiable risk factors
- The analysis of multivariate longitudinal data using multivariate marginal models
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Stein-like 2SLS estimator
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- Efficient GMM estimation of spatial dynamic panel data models with fixed effects
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Tests based on \(t\)-statistics for IV regression with weak instruments
- A comparative study of three data-based methods of instrument selection
- The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Performance of conditional Wald tests in IV regression with weak instruments
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- A regularization approach to the many instruments problem
- Kernel-weighted GMM estimators for linear time series models
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Choice of weights in FMA estimators under general parametric models
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
- Long difference instrumental variables estimation for dynamic panel models with fixed effects
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Instrumental variable estimation in the presence of many moment conditions
- The Hausman test and weak instruments
- A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method
- Constructing optimal instruments by first-stage prediction averaging
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- Analysis of interactive fixed effects dynamic linear panel regression with measurement error
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Instrumental variables estimation with many weak instruments using regularized JIVE
- COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS
- OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
- GMM estimation of social interaction models with centrality
- Empirical likelihood estimation and consistent tests with conditional moment restrictions
- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- Structural Equation Model Averaging: Methodology and Application
- A conditional linear combination test with many weak instruments
- Sequential and efficient GMM estimation of dynamic short panel data models
- Adaptive k-class estimation in high-dimensional linear models
- A weighted average limited information maximum likelihood estimator
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
- Regressor and random‐effects dependencies in multilevel models
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Instrumental variable model average with applications in Mendelian randomization
- Editorial: Whitney Newey's contributions to econometrics
- Instrumental variable estimation with first-stage heterogeneity
- Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
- GMM quantile regression
- Nonparametric instrument model averaging
- Testing the adequacy of conventional asymptotics in GMM
- Estimation of spillover effects with matched data or longitudinal network data
- Shrinkage empirical likelihood estimator in longitudinal analysis with time-dependent covariates -- application to modeling the health of Filipino children
- Regularized estimation of dynamic panel models
- An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
This page was built for publication: Choosing the Number of Instruments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4531032)
