OPTIMAL INFERENCE WITH MANY INSTRUMENTS

DOI10.1017/S0266466602181084MaRDI QIDQ4807286zbMATH OpenOpenAlexFDO

Authors Jinyong Hahn

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466602181084

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

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• Inference with Many Weak Instruments
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• Instrumental variables: an econometrician's perspective
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• Jackknife instrumental variable estimation with heteroskedasticity
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

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