메뉴 건너뛰기




Volumn 26, Issue 6, 2010, Pages 1577-1606

Instrumental variable estimation in a data rich environment

Author keywords

[No Author keywords available]

Indexed keywords


EID: 79251638360     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466609990727     Document Type: Article
Times cited : (117)

References (30)
  • 1
    • 70350116909 scopus 로고
    • On the use of principal components of independent variables in two-stage least squares estimation
    • Amemiya, T. (1966) On the use of principal components of independent variables in two-stage least squares estimation. International Economic Review 7, 283-303.
    • (1966) International Economic Review , vol.7 , pp. 283-303
    • Amemiya, T.1
  • 3
    • 33646375486 scopus 로고    scopus 로고
    • Optimal two-sided invariant similar tests for instrumental variables regression
    • Andrews, D., M. Moreira, & J. Stock (2006) Optimal two-sided invariant similar tests for instrumental variables regression. Econometrica 74, 715-754.
    • (2006) Econometrica , vol.74 , pp. 715-754
    • Andrews, D.1    Moreira, M.2    Stock, J.3
  • 4
    • 84881844837 scopus 로고
    • Some specification tests for panel data models: Monte Carlo evidence and an application to employment equations
    • Arellano, M. & S. Bond (1991) Some specification tests for panel data models: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58, 277-298.
    • (1991) Review of Economic Studies , vol.58 , pp. 277-298
    • Arellano, M.1    Bond, S.2
  • 5
    • 0037277111 scopus 로고    scopus 로고
    • Inferential theory for factor models of large dimensions
    • Bai, J. (2003) Inferential theory for factor models of large dimensions. Econometrica 71, 135-172.
    • (2003) Econometrica , vol.71 , pp. 135-172
    • Bai, J.1
  • 6
    • 0036221554 scopus 로고    scopus 로고
    • Determining the number of factors in approximate factor models
    • Bai, J. & S. Ng (2002) Determining the number of factors in approximate factor models. Econometrica 70, 191-221.
    • (2002) Econometrica , vol.70 , pp. 191-221
    • Bai, J.1    Ng, S.2
  • 7
    • 70349206244 scopus 로고    scopus 로고
    • Selecting instrumental variables in a data rich environment
    • article 4 (online)
    • Bai, J. & S. Ng (2009) Selecting instrumental variables in a data rich environment. Journal of Time Series Econometrics 1(1), article 4 (online).
    • (2009) Journal of Time Series Econometrics , vol.1 , Issue.1
    • Bai, J.1    Ng, S.2
  • 8
    • 0000881864 scopus 로고
    • Alternative approximations to the distributions of instrumental variables estimators
    • Bekker, P.A. (1994) Alternative approximations to the distributions of instrumental variables estimators. Econometrica 63, 657-681.
    • (1994) Econometrica , vol.63 , pp. 657-681
    • Bekker, P.A.1
  • 11
    • 0000915180 scopus 로고
    • Arbitrage, factor structure and mean-variance analysis in large asset markets
    • Chamberlain, G. & M. Rothschild (1983) Arbitrage, factor structure and mean-variance analysis in large asset markets. Econometrica 51, 1281-2304.
    • (1983) Econometrica , vol.51 , pp. 1281-2304
    • Chamberlain, G.1    Rothschild, M.2
  • 12
    • 27744480498 scopus 로고    scopus 로고
    • Consistent estimation with a large number of instruments
    • Chao, J. & N. Swanson (2005) Consistent estimation with a large number of instruments. Econometrica 73, 1673-1692.
    • (2005) Econometrica , vol.73 , pp. 1673-1692
    • Chao, J.1    Swanson, N.2
  • 13
    • 0000736414 scopus 로고    scopus 로고
    • Choosing the number of instruments
    • Donald, S. & W. Newey (2001) Choosing the number of instruments. Econometrica 69, 1161-1192.
    • (2001) Econometrica , vol.69 , pp. 1161-1192
    • Donald, S.1    Newey, W.2
  • 16
    • 0036012240 scopus 로고    scopus 로고
    • Discontinuities of weak instrument limiting distributions
    • Hahn, J. & G. Kuersteiner (2002) Discontinuities of weak instrument limiting distributions. Economics Letters 75, 325-331.
    • (2002) Economics Letters , vol.75 , pp. 325-331
    • Hahn, J.1    Kuersteiner, G.2
  • 17
    • 34250778808 scopus 로고    scopus 로고
    • Determining the number of factors in the general dynamic factor model
    • Hallin, M. & R. Liska (2007) Determining the number of factors in the general dynamic factor model. Journal of the American Statistical Association 102, 603-617.
    • (2007) Journal of the American Statistical Association , vol.102 , pp. 603-617
    • Hallin, M.1    Liska, R.2
  • 18
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L.P. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 19
    • 0000250716 scopus 로고
    • Specification tests in econometrics
    • Hausman, J. (1978) Specification tests in econometrics. Econometrica 46, 1251-1272.
    • (1978) Econometrica , vol.46 , pp. 1251-1272
    • Hausman, J.1
  • 21
    • 84890663370 scopus 로고    scopus 로고
    • Princeton University Press
    • Hayashi, F. (2000) Econometrics. Princeton University Press.
    • (2000) Econometrics
    • Hayashi, F.1
  • 23
    • 0011496160 scopus 로고
    • Simultaneous equations estimation based on principal components of predetermined variables
    • Kloek, T. & L. Mennes (1960) Simultaneous equations estimation based on principal components of predetermined variables. Econometrica 28, 46-61.
    • (1960) Econometrica , vol.28 , pp. 46-61
    • Kloek, T.1    Mennes, L.2
  • 25
    • 39649113562 scopus 로고    scopus 로고
    • Can one estimate the unconditional distribution of post-model-selection estimators?
    • Leeb, H. & B. Potscher (2008) Can one estimate the unconditional distribution of post-model-selection estimators? Econometric Theory 24, 338-376.
    • (2008) Econometric Theory , vol.24 , pp. 338-376
    • Leeb, H.1    Potscher, B.2
  • 27
    • 0141718527 scopus 로고    scopus 로고
    • A conditional likelihood ratio test for structural models
    • Moreira, M. (2003) A conditional likelihood ratio test for structural models. Econometrica 71, 1027-1048.
    • (2003) Econometrica , vol.71 , pp. 1027-1048
    • Moreira, M.1
  • 29
    • 0036970448 scopus 로고    scopus 로고
    • Forecasting using principal components from a large number of predictors
    • Stock, J.H. & M.W. Watson (2002) Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97, 1167-1179.
    • (2002) Journal of the American Statistical Association , vol.97 , pp. 1167-1179
    • Stock, J.H.1    Watson, M.W.2
  • 30
    • 22944475803 scopus 로고    scopus 로고
    • Instumental variables estimation with panel data
    • Wooldridge, J. (2005) Instumental variables estimation with panel data. Econometric Theory 21, 865-869.
    • (2005) Econometric Theory , vol.21 , pp. 865-869
    • Wooldridge, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.