PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS

DOI10.1017/S0266466613000492zbMath1314.62201OpenAlexW2144210158MaRDI QIDQ2878820

John C. Chao

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000492

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Parametric inference under constraints (62F30)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Simultaneous equations with error components
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation
• Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components
• Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
• The Exact Distribution of LIML: I
• The Exact Distribution of LIML: II
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• Instrumental Variables Regression with Weak Instruments
• Model Selection: An Integral Part of Inference
• Frequentist Model Average Estimators
• GMM with Weak Identification
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments
• Least Squares Model Averaging

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