Instrumental variable estimation with heteroskedasticity and many instruments
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Publication:4559975
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Cited in
(42)- Instrumental variables estimation and inference in the presence of many exogenous regressors
- Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
- An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
- Efficient estimation with many weak instruments using regularization techniques
- Combining two consistent estimators
- Ill-posed estimation in high-dimensional models with instrumental variables
- A conditional linear combination test with many weak instruments
- Identification strength with a large number of moments
- ML and GMM with concentrated instruments in the static panel data model
- Minimum distance approach to inference with many instruments
- Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
- Bootstrap inference for instrumental variable models with many weak instruments
- Limit theorems for factor models
- Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
- Jackknife estimation of a cluster-sample IV regression model with many weak instruments
- LIML in the static linear panel data model
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
- Conditional moment models under semi-strong identification
- Identification-robust nonparametric inference in a linear IV model
- Regularized LIML for many instruments
- Location properties of point estimators in linear instrumental variables and related models
- Instrumental variable estimation of heteroskedasticity adaptive error component models
- Simple many-instruments robust standard errors through concentrated instrumental variables
- Editorial: Whitney Newey's contributions to econometrics
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Inference in instrumental variable models with heteroskedasticity and many instruments
- Instrumental variable estimation in functional linear models
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Second-order refinements for \(t\)-ratios with many instruments
- An expository note on the existence of moments of Fuller and HFUL estimators
- Robust estimation with many instruments
- Jackknife instrumental variable estimation with heteroskedasticity
- Asymptotic distribution of JIVE in a heteroskedastic IV regression 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
- Instrumental variable estimation in the presence of many moment conditions
- High-stakes testing case study: a latent variable approach for assessing measurement and prediction invariance
- ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- A jackknife Lagrange multiplier test with many weak instruments
- Instrumental variables estimation with many weak instruments using regularized JIVE
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