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Asymptotic variance under many instruments: Numerical computations

In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the traditional variance, one term is due to instrument numerosity, and the last two appear if the model errors are non-normal. For a stylized instrumental variables model, we compute numerical values of these components to uncover how the four components are related to each other in magnitude.
Year of publication:
2013
Authors: Abutaliev, Albert ; Anatolyev, Stanislav
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 2, p. 272-274
Publisher: Elsevier
Subject: Many instruments | Asymptotic variance | LIML | Non-normality
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010608070
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