Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 515-555

  Chao, John ^a   Swanson, Norman R ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Confluent hypergeometric function; Laplace approximation; Local to zero asymptotics; Weak instruments

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; FUNCTIONS; INDUSTRIAL ECONOMICS; INSTRUMENTS; STATISTICAL TESTS;

CONFLUENT HYPERGEOMETRIC FUNCTION; LAPLACE APPROXIMATION; LEAST SQUARES ESTIMATORS; MEAN SQUARED ERROR (MSE); STOCHASTIC INSTRUMENTS;

RANDOM ERRORS;

EID: 33847239082     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.09.002     Document Type: Article

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