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
|
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Authors: | Kapetanios, George ; Marcellino, Massimiliano |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 36-39
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Publisher: |
Elsevier |
Keywords: | Instrumental variable estimation 2SLS Cross-sectional average |
Saved in:
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