Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information

DOI10.1016/J.JECONOM.2011.09.038zbMATH Open1229.62024OpenAlexW2137835709WikidataQ57432756 ScholiaQ57432756MaRDI QIDQ654497FDOQ654497

Zongwu Cai, Jia Su, Ying Fang

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.038

zbMATH Keywords

panel databias reduction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Monte Carlo methods (65C05) Sequential estimation (62L12)

Cites Work

• Subsampling
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• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• GMM with Weak Identification
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• On the asymptotic properties of the jackknife histogram
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• Are ``nearly exogenous instruments reliable?
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• Berry-Esseen bound for a sample sum from a finite set of independent random variables

Cited In (1)

• Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models

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