Random effects estimators with many instrumental variables

Econometrica

Volumn 72, Issue 1, 2004, Pages 295-306

  Chamberlain, Gary ^a   Imbens, Guido ^b  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Instrumental variables; Quasi likelihood; Random effects; Returns to schooling; Risk function; Two stage least squares

Indexed keywords

CORRELATION METHODS; LEAST SQUARES APPROXIMATIONS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; RANDOM PROCESSES; REGRESSION ANALYSIS; RISK ASSESSMENT;

INSTRUMENTAL VARIABLES; LIMITED INFORMATION MAXIMUM LIKELIHOOD ESTIMATORS; RANDOM EFFECTS ESTIMATORS; RISK FUNCTION; TWO STAGE LEAST SQUARES;

ECONOMICS;

EID: 1642393955     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00485.x     Document Type: Note

References (7)

1. Angrist, J., and A. Krueger (1991): "Does Compulsory School Attendance Affect Schooling and Earnings?" Quarterly Journal of Economics, 106, 979-1014.
2. Bekker, P. (1994): "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, 62, 657-681.
3. Bound, J., D. Jaeger, and R. Baker (1995): "Problems with Instrumental Variables Estimation when the Correlation Between the Instruments and the Endogeneous Explanatory Variable Is Weak," Journal of the American Statistical Association, 90, 443-450.
4. Chamberlain, G., and G. Imbens (2001): "Random Effects Estimators with Many Instrumental Variables," Manuscript, Harvard University; http://elsa.berkeley.edu/users/imbens/.
5. Kleibergen, F. (2002): "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, 70, 1781-1803.
6. Moreira, M. (2003): "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, 71, 1027-1048.
7. Staiger, D., and J. Stock (1997): "Instrumental Variables Regression with Weak Instruments," Econometrica, 65, 557-586.