Bekker, Paul A.; Crudu, Federico - In: Journal of Econometrics 185 (2015) 2, pp. 332-342
observations such that many-instruments consistency is guaranteed while the signal component in the data is maintained. We show … that this results in a smaller signal component in the many instruments asymptotic variance when compared to estimators … that neglect a part of the signal to achieve consistency. Both many strong instruments and many weak instruments asymptotic …