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.
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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
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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
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