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Many Instruments Asymptotic Approximations Under Nonnormal Error Distributions

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  • Hasselt, Martijn van
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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 26 (2010)
    Issue (Month): 02 (April)
    Pages: 633-645

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    Handle: RePEc:cup:etheor:v:26:y:2010:i:02:p:633-645_10

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    Cited by:
    1. Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, Center for Economic and Financial Research (CEFIR).
    2. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
    3. Liu, Xiaodong & Lee, Lung-fei, 2010. "GMM estimation of social interaction models with centrality," Journal of Econometrics, Elsevier, vol. 159(1), pages 99-115, November.
    4. Lee, Yoonseok & Okui, Ryo, 2012. "Hahn–Hausman test as a specification test," Journal of Econometrics, Elsevier, vol. 167(1), pages 133-139.
    5. Winkelried, D. & Smith, R.J., 2011. "Principal Components Instrumental Variable Estimation," Cambridge Working Papers in Economics 1119, Faculty of Economics, University of Cambridge.
    6. Liu, Xiaodong, 2012. "On the consistency of the LIML estimator of a spatial autoregressive model with many instruments," Economics Letters, Elsevier, vol. 116(3), pages 472-475.
    7. Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.

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