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Econometrics
Acemoglu, Daron (contributor) - 2013
Persistent link: https://www.econbiz.de/10010213203
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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
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Asymptotics of non-linear lasso type estimators
caner, mehmet - Econometric Society - 2004
This paper extends the linear lasso estimators to non-linear case. We are especially interested in GMM type of Lasso estimators. Lasso estimators are generalization of ridge regression in least squares. With this setup we can deal with identification problem introduced by weak instruments. When...
Persistent link: https://www.econbiz.de/10005328987
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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
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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
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Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments
Swanson, Norman R.; Chao, John C. - Econometric Society - 2004
heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified … LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new …
Persistent link: https://www.econbiz.de/10005342304
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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
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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
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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