Regularized LIML for many instruments
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Recommendations
- A regularization approach to the many instruments problem
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Many instruments asymptotic approximations under nonnormal error distributions
- An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
- An efficient method for \(l^\infty\) regression
- Tikhonov regularization for nonparametric instrumental variable estimators
- Efficient estimation with many weak instruments using regularization techniques
- Iterative regularisation in nonparametric instrumental regression
- Limiting distributions for \(L_1\) regression estimators under general conditions
Cites work
- scientific article; zbMATH DE number 3483405 (Why is no real title available?)
- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
- A regularization approach to the many instruments problem
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
- Choosing the Number of Instruments
- Consistent Estimation with a Large Number of Weak Instruments
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Determining the Number of Factors in Approximate Factor Models
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Factor-GMM estimation with large sets of possibly weak instruments
- Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
- Generalization of GMM to a continuum of moment conditions
- Generalized Method of Moments With Many Weak Moment Conditions
- Higher moment estimators for linear regression models with errors in the variables
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Instrumental Variables Regression with Weak Instruments
- Instrumental variable estimation in the presence of many moment conditions
- Instrumental variable estimation with heteroskedasticity and many instruments
- Instrumental variables estimation with many weak instruments using regularized JIVE
- Kernel-weighted GMM estimators for linear time series models
- Legal Institutions, Sectoral Heterogeneity, and Economic Development
- Linear integral equations.
- Normal Multivariate Analysis and the Orthogonal Group
- On the asymptotic efficiency of GMM
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Properties of the CUE estimator and a modification with moments
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- Some Comments on C P
- Some Properties of a Modification of the Limited Information Estimator
- Sparse models and methods for optimal instruments with an application to eminent domain
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- The LIML estimator has finite moments!
- Weak convergence and empirical processes. With applications to statistics
Cited in
(13)- Moment selection and generalized empirical likelihood estimation in high-dimensional unconditional moment conditions
- Efficient estimation with many weak instruments using regularization techniques
- A conditional linear combination test with many weak instruments
- Adaptive k-class estimation in high-dimensional linear models
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
- Econometric estimation with high-dimensional moment equalities
- Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments
- Instrument selection for estimation of a forward-looking Phillips curve
- On a generalization of the test of endogeneity in a two stage least squares estimation
- A regularization approach to the many instruments problem
- Regularizing double machine learning in partially linear endogenous models
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Regularized estimation of dynamic panel models
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