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Shrinkage methods for instrumental variable estimation

Okui, Ryo - Econometric Society - 2004

This paper proposes shrinkage methods in instrumental variable estimations to solve the ``many instruments'' problem. Even though using a large number of instruments reduces the asymptotic variances of the estimators, it has been observed both in theoretical works and in practice that in finite...

Persistent link: https://www.econbiz.de/10005342378

Econometrics

Acemoglu, Daron (contributor) - 2013

Persistent link: https://www.econbiz.de/10010213203

Bias correction and bootstrapping of error component models for panel data : theory and applications

Bellmann, Lutz - 1988

Persistent link: https://www.econbiz.de/10013416074

Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments

Swanson, Norman R.; Chao, John C. - Econometric Society - 2004

-instruments asymptotic framework. In this case, the rate of convergence of estimators, such as LIML and B2SLS, is found to depend both on the … instruments but faster than the square root of the number of instruments, the LIML estimator can be shown to be asymptotically … relative efficiency of LIML and B2SLS will in general depend on parameter values of the moments of the error distributions …

Persistent link: https://www.econbiz.de/10005329031

Bayesian Reduced Rank Regression in SEMs with Weak Identification

Lahiri, Kajal; Kim, Jabonn - Econometric Society - 2004

This paper is concerned with Bayesian reduced rank regression when instruments are weak. There have been a number of studies on weak identification problem with the application of reduced rank regression combined with singular value decomposition (SVD) method in the Bayesian framework, see...

Persistent link: https://www.econbiz.de/10005086424

Are New Keynesian Phillips Curves Identified ?

Kichian, Maral; Dufour, Jean-Marie; Khalaf, Lynda - Econometric Society - 2004

In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

Persistent link: https://www.econbiz.de/10005063699

Higher Order Expansions in the Weak Instrument Case

Suarez, Gustavo; Moreira, Marcelo J.; Porter, Jack R. - Econometric Society - 2004

We provide an argument for the limitation of Edgeworth expansions to many commonly used statistics in the weak instrument framework. However, we show that Edgeworth expansions hold for approximately similar tests regardless of the identification conditions. Finally, we consider simulation...

Persistent link: https://www.econbiz.de/10005699656

Ill-posed Problems and Instruments' Weakness

Hillier, Grant; Forchini, Giovanni - Econometric Society - 2004

Potscher (Econometrica, 2002) has pointed out that several estimation problems in econometrics are ill-posed. This paper further studies the nature of ill-posed problems in parametric models. Our starting point is that both parameters and estimators may be seen as maps from the manifold of...

Persistent link: https://www.econbiz.de/10005702542

Simulation-Based Finite-Sample Inference in Simultaneous Equations

Khalaf, Lynda; Dufour, Jean-Marie - Econometric Society - 2004

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely complicate exact and asymptotic tests (except for very specific hypotheses). In this paper, we propose exact likelihood based tests for possibly nonlinear hypotheses on the...

Persistent link: https://www.econbiz.de/10005130223

Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap

Kleibergen, Frank - Econometric Society - 2004

parameter in a panel autoregressive model to illustrate the consequences of the higher order.terms and the improvement that …

Persistent link: https://www.econbiz.de/10005342218