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Volumn 26, Issue 2, 2010, Pages 633-645

Many instruments asymptotic approximations under nonnormal error distributions

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EID: 77951142680     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466609100117     Document Type: Article
Times cited : (19)

References (16)
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  • 3
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    • Instrumental variable estimation based on grouped data
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  • 6
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    • Consistent estimation with a large number of weak instruments
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    • Chao, J.C.1    Swanson, N.R.2
  • 7
    • 34248515820 scopus 로고    scopus 로고
    • Asymptotic normality of single-equation estimators for the case with a large number of weak instruments
    • D. Corbae, S.N. Durlauf, & B.E. Hansen (eds.), Cambridge University Press
    • Chao, J.C. & N.R. Swanson (2006) Asymptotic normality of single-equation estimators for the case with a large number of weak instruments. In D. Corbae, S.N. Durlauf, & B.E. Hansen (eds.), Econometric Theory and Practice: Frontiers of Analysis and Applied Research, pp. 82-124. Cambridge University Press.
    • (2006) Econometric Theory and Practice: Frontiers of Analysis and Applied Research , pp. 82-124
    • Chao, J.C.1    Swanson, N.R.2
  • 8
    • 33847239082 scopus 로고    scopus 로고
    • Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
    • Chao, J.C. & N.R. Swanson (2007) Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction. Journal of Econometrics 137, 515-555.
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    • Chao, J.C.1    Swanson, N.R.2
  • 12
    • 0000587139 scopus 로고
    • Approximate distributions of k-class estimators when the degree of overidentifiability is large compared with the sample size
    • Morimune, K. (1983) Approximate distributions of k-class estimators when the degree of overidentifiability is large compared with the sample size. Econometrica 51, 821-842.
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    • Morimune, K.1
  • 13
    • 0000782256 scopus 로고
    • The bias and moment matrix of the general k-class estimators of the parameters in simultaneous equations
    • Nagar, A.L. (1959) The bias and moment matrix of the general k-class estimators of the parameters in simultaneous equations. Econometrica 27, 575-595.
    • (1959) Econometrica , vol.27 , pp. 575-595
    • Nagar, A.L.1
  • 15
    • 84926092367 scopus 로고    scopus 로고
    • Asymptotic distributions of instrumental variables statistics with many instruments
    • D.W.K. Andrews & J.H. Stock (eds.), Cambridge University Press
    • Stock, J.H. & M. Yogo (2005) Asymptotic distributions of instrumental variables statistics with many instruments. In D.W.K. Andrews & J.H. Stock (eds.), Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, pp. 109-120. Cambridge University Press.
    • (2005) Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg , pp. 109-120
    • Stock, J.H.1    Yogo, M.2


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