Instrumental variable estimation with heteroskedasticity and many instruments

DOI10.3982/QE89zbMATH Open1408.62037OpenAlexW2101986691MaRDI QIDQ4559975FDOQ4559975

Authors: Whitney Newey, Tiemen Woutersen, Norman R. Swanson, Jerry Hausman, John C. Chao 

Publication date: 4 December 2018

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe89

Recommendations

• Inference in instrumental variable models with heteroskedasticity and many instruments
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• Jackknife instrumental variable estimation with heteroskedasticity
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity

zbMATH Keywords

heteroskedasticityinstrumental variablesjackknifemany instrumentslimited-information maximum likelihood (LIML) estimator

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cited In (42)

• 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
• A conditional linear combination test with many weak instruments
• Ill-posed estimation in high-dimensional models with instrumental variables
• 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
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• Limit theorems for factor models
• Jackknife estimation of a cluster-sample IV regression model with many weak instruments
• LIML in the static linear panel data model
• Identification-robust nonparametric inference in a linear IV model
• Conditional moment models under semi-strong identification
• On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
• 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
• Editorial: Whitney Newey's contributions to econometrics
• Simple many-instruments robust standard errors through concentrated instrumental variables
• 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
• An expository note on the existence of moments of Fuller and HFUL estimators
• Second-order refinements for \(t\)-ratios with many instruments
• Robust estimation with many instruments
• Instrumental variable estimation in functional linear models
• Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
• Instrumental variable estimation of factor models with possibly many variables
• Jackknife instrumental variable estimation with heteroskedasticity
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• 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
• A jackknife Lagrange multiplier test with many weak instruments
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• Instrumental variables estimation with many weak instruments using regularized JIVE
• 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*

This page was built for publication: Instrumental variable estimation with heteroskedasticity and many instruments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4559975)