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Simple many-instruments robust standard errors through concentrated instrumental variables

Author

Listed:
  • Bekker, Paul
  • Wansbeek, Tom

Abstract

In a weak and many instruments setting, 2SLS can be severely biased towards OLS and the standard errors can be way too small. LIML is an attractive alternative, especially when the many-instruments robust (MIR) standard errors are used as proposed by Bekker (1994).

Suggested Citation

  • Bekker, Paul & Wansbeek, Tom, 2016. "Simple many-instruments robust standard errors through concentrated instrumental variables," Economics Letters, Elsevier, vol. 149(C), pages 52-55.
    • Handle: RePEc:eee:ecolet:v:149:y:2016:i:c:p:52-55
    DOI: 10.1016/j.econlet.2016.09.017
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    References listed on IDEAS

    as
    1. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-681, May.
    2. Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012. "Instrumental variable estimation with heteroskedasticity and many instruments," Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, July.
    3. Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
    4. Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012. "Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments," Econometric Theory, Cambridge University Press, vol. 28(1), pages 42-86, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    LIML; Weak instruments; Concentrated instruments;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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