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

DOI10.1017/S0266466611000120zbMath1442.62734OpenAlexW3122640934MaRDI QIDQ3224038

Norman R. Swanson, Tiemen Woutersen, Whitney K. Newey, Jerry A. Hausman, John C. Chao

Publication date: 29 March 2012

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

Full work available at URL: https://doi.org/10.1017/s0266466611000120

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (28)

Econometric estimation with high-dimensional moment equalities ⋮ JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS ⋮ Many IVs estimation of dynamic panel regression models with measurement error ⋮ Simple many-instruments robust standard errors through concentrated instrumental variables ⋮ Linear model IV estimation when instruments are many or weak ⋮ An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Jackknife estimation of a cluster-sample IV regression model with many weak instruments ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ A conditional linear combination test with many weak instruments ⋮ Testing many restrictions under heteroskedasticity ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Editorial: Whitney Newey's contributions to econometrics ⋮ ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS ⋮ Regularized LIML for many instruments ⋮ Minimum distance approach to inference with many instruments ⋮ On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity ⋮ Instrumental variables estimation with many weak instruments using regularized JIVE ⋮ Testing overidentifying restrictions with many instruments and heteroskedasticity ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ Robust estimation with many instruments ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS ⋮ LIMIT THEOREMS FOR FACTOR MODELS ⋮ Jackknife instrumental variable estimation with heteroskedasticity ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• Unnamed Item
• Efficient Instrumental Variables Estimation of Nonlinear Models
• 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
• The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
• Some Properties of a Modification of the Limited Information Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Choosing the Number of Instruments
• Instrumental variable estimation based on grouped data
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments

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