An Alternative Way of ComputingEfficient Instrumental VariableEstimators
AbstractA new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the combination of a large number ofpossibly inefficient estimators rather than combining the instruments into anoptimal instrument function. The consistency and asymptotic normality isestablished for a class of estimators that are linear combinations of a set ofv?? ??consistent estimators whose cardinality increases with sample size. It is shown thatthe semiparametrically efficient estimator lies in this class. The proofs do not relyon smoothness of underlying criterion functions. Potential use of the estimator canovercome the undersized sample problem. in simultaneous equation systemestimation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2009/536.
Date of creation: Jun 2009
Date of revision:
Contact details of provider:
Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Instrumental Variables; Minimum Distance; Semiparametric Efficiency; Two-Stage Least Squares;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lorenzo Ricci & David Veredas, 2012.
ULB Institutional Repository
2013/136238, ULB -- Universite Libre de Bruxelles.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.