OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

DOI10.1017/S0266466608090300zbMath1253.62039MaRDI QIDQ3181948

Michael Jansson, Laura Chioda

Publication date: 30 September 2009

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (6)

Second-order refinements for \(t\)-ratios with many instruments ⋮ Minimum distance approach to inference with many instruments ⋮ On the asymptotic optimality of the LIML estimator with possibly many instruments ⋮ Robust estimation with many instruments ⋮ A maximum likelihood method for the incidental parameter problem ⋮ Jackknife instrumental variable estimation with heteroskedasticity

Cites Work

• Defining the curvature of a statistical problem (with applications to second order efficiency)
• Asymptotically uniformly most powerful tests in parametric and semiparametric models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Some Properties of a Modification of the Limited Information Estimator
• Asymptotic Statistics
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Choosing the Number of Instruments
• OPTIMAL INFERENCE WITH MANY INSTRUMENTS
• Consistent Estimation with a Large Number of Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Random Effects Estimators with many Instrumental Variables
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Identification and Inference for Econometric Models
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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