Cross-sectional averaging and instrumental variable estimation with many weak instruments
The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies,
Oxford University Press, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
- Morimune, Kimio, 1983. "Approximate Distributions of k-Class Estimators When the Degree of Overidentifiability Is Large Compared with the Sample Size," Econometrica, Econometric Society, vol. 51(3), pages 821-41, May.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
- Beyer, Andreas & Farmer, Roger E A & Henry, Jérôme & Marcellino, Massimiliano, 2005.
"Factor Analysis in a New-Keynesian Model,"
CEPR Discussion Papers
5266, C.E.P.R. Discussion Papers.
- Andreas Beyer & Roger E. A. Farmer, 2004.
"On the Indeterminacy of New-Keynesian Economics,"
Computing in Economics and Finance 2004
152, Society for Computational Economics.
- John C. Chao & Norman R. Swanson, 2005.
"Consistent Estimation with a Large Number of Weak Instruments,"
Econometric Society, vol. 73(5), pages 1673-1692, 09.
- Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation for Research in Economics, Yale University.
- John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
- John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
- John Shea, 1997.
"Instrument Relevance in Multivariate Linear Models: A Simple Measure,"
The Review of Economics and Statistics,
MIT Press, vol. 79(2), pages 348-352, May.
- John Shea, 1996. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," NBER Technical Working Papers 0193, National Bureau of Economic Research, Inc.
- Donald, Stephen G. & Whitney Newey, 1999.
"Choosing the Number of Instruments,"
99-05, Massachusetts Institute of Technology (MIT), Department of Economics.
- James H. Stock & Motohiro Yogo, 2002. "Testing for Weak Instruments in Linear IV Regression," NBER Technical Working Papers 0284, National Bureau of Economic Research, Inc.
- D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.
- Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, .
"Principal components at work: The empirical analysis of monetary policy with large datasets,"
223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 603-620.
- Hall, Alastair R & Rudebusch, Glenn D & Wilcox, David W, 1996.
"Judging Instrument Relevance in Instrumental Variables Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-98, May.
- Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:36-39. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.