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

DOI10.1016/J.JECONOM.2011.09.038MaRDI QIDQ654497zbMATH OpenOpenAlexWikidataFDO

Authors Ying Fang, Jia Su, Zongwu Cai

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)

Recommendations

• Weak instrumental variables models for longitudinal data
• Linear model IV estimation when instruments are many or weak
• Cross-sectional averaging and instrumental variable estimation with many weak instruments
• Consistent Estimation with a Large Number of Weak Instruments
• A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation

Cites work

• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• Are ``nearly exogenous instruments reliable?
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Berry-Esseen bound for a sample sum from a finite set of independent random variables
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GMM with Weak Identification
• Generalized method of moments specification testing
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• On the asymptotic properties of the jackknife histogram
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Subsampling
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

Cited in

(2)

• An asymptotic variance inequality for instrumental variable estimators signaling proportional bias increases
• Semiparametric estimation of partially varying-coefficient dynamic panel data models

This page was built for publication: Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654497)