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Robust estimation with many instruments (Q2294456)

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Language	Label	Description	Also known as
English	Robust estimation with many instruments	scientific article

Statements

scholarly article

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Robust estimation with many instruments (English)

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Mikkel Sølvsten

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Journal of Econometrics

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publication date

11 February 2020

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zbMATH Keywords

instrumental variables

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generalized method of moments

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minimax estimation

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Stein's method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2019.04.040

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Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

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Two Stage Least Absolute Deviations Estimators

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On the asymptotic optimality of the LIML estimator with possibly many instruments

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Alternative Approximations to the Distributions of Instrumental Variable Estimators

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Instrumental variable estimation based on grouped data

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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

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Optimal inference for instrumental variables regression with non-Gaussian errors

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Random Effects Estimators with many Instrumental Variables

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Consistent Estimation with a Large Number of Weak Instruments

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ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

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A new method of normal approximation

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Estimation of Semiparametric Models when the Criterion Function Is Not Smooth

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Two-stage regression quantiles and two-stage trimmed least squares estimators for structural equation models

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Instrumental quantile regression inference for structural and treatment effect models

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OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

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On robust regression with high-dimensional predictors

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Can we trust the bootstrap in high-dimension?

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Some Properties of a Modification of the Limited Information Estimator

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OPTIMAL INFERENCE WITH MANY INSTRUMENTS

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A New Specification Test for the Validity of Instrumental Variables

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Large Sample Properties of Generalized Method of Moments Estimators

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Instrumental variables estimation with many weak instruments using regularized JIVE

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Instrumental Variables Estimation With Flexible Distributions

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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

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Instrumental variable estimation with heteroskedasticity and many instruments

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Robust Estimation of a Location Parameter

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Robust regression: Asymptotics, conjectures and Monte Carlo

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Robust Statistics

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Leave‐Out Estimation of Variance Components

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Minimum distance approach to inference with many instruments

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Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables

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Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations

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Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size

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Efficient Instrumental Variables Estimation of Nonlinear Models

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The Asymptotic Variance of Semiparametric Estimators

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Generalized Method of Moments With Many Weak Moment Conditions

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Simulation and the Asymptotics of Optimization Estimators

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The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators

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Instrumental Variables Regression with Weak Instruments

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Bootstrap inference for instrumental variable models with many weak instruments

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2019.04.040

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Sitelinks

Mathematics(1 entry)

mardi Publication:2294456

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