Cross-sectional averaging and instrumental variable estimation with many weak instruments
The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.
Year of publication: |
2010
|
---|---|
Authors: | Kapetanios, George ; Marcellino, Massimiliano |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 36-39
|
Publisher: |
Elsevier |
Keywords: | Instrumental variable estimation 2SLS Cross-sectional average |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Time-varying instrumental variable estimation
Giraitis, Liudas, (2020)
-
Large timeâvarying parameter VARs : A nonparametric approach
Kapetanios, George, (2019)
-
Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea, (2008)
- More ...