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Citations for "Consistent Estimation with a Large Number of Weak Instruments"

by Chao, John Chao & Norman R. Swanson

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  1. Liu, Hong & Zhao, Zhong, 2014. "Parental job loss and children's health: Ten years after the massive layoff of the SOEs' workers in China," China Economic Review, Elsevier, vol. 31(C), pages 303-319.
  2. J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, 03.
  3. Leoncini, Riccardo & Montresor, Sandro & Rentocchini, Francesco, 2016. "CO2-reducing innovations and outsourcing: Evidence from photovoltaics and green construction in North-East Italy," Research Policy, Elsevier, vol. 45(8), pages 1649-1659.
  4. Wenjie Wang, 2012. "Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Instruments," KIER Working Papers 810, Kyoto University, Institute of Economic Research.
  5. Menzel, Konrad, 2014. "Consistent estimation with many moment inequalities," Journal of Econometrics, Elsevier, vol. 182(2), pages 329-350.
  6. Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2011. "On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments," Journal of Econometrics, Elsevier, vol. 165(1), pages 58-69.
  7. 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.
  8. Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
  9. Alessandro Gambini & Alberto Zazzaro, 2013. "Long-lasting bank relationships and growth of firms," Small Business Economics, Springer, vol. 40(4), pages 977-1007, May.
  10. Kapetanios, George & Marcellino, Massimiliano, 2010. "Cross-sectional averaging and instrumental variable estimation with many weak instruments," Economics Letters, Elsevier, vol. 108(1), pages 36-39, July.
  11. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
  12. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
  13. Channing Arndt & Sam Jones & Finn Tarp, 2009. "Aid and Growth: Have We Come Full Circle?," WIDER Working Paper Series WIDER Discussion Paper 20, World Institute for Development Economic Research (UNU-WIDER).
  14. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, 09.
  15. Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
  16. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  17. Chao, John C. & Hausman, Jerry A. & Newey, Whitney K. & Swanson, Norman R. & Woutersen, Tiemen, 2014. "Testing overidentifying restrictions with many instruments and heteroskedasticity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 15-21.
  18. Balan, David J. & Knack, Stephen, 2012. "The correlation between human capital and morality and its effect on economic performance: Theory and evidence," Journal of Comparative Economics, Elsevier, vol. 40(3), pages 457-475.
  19. Maurice Bun & Frank Windmeijer, 2010. "A comparison of bias approximations for the 2SLS estimator," CeMMAP working papers CWP07/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  20. Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(02), pages 427-441, April.
  21. repec:wyi:journl:002148 is not listed on IDEAS
  22. Hansen, Christian & Hausman, Jerry & Newey, Whitney, 2008. "Estimation With Many Instrumental Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 398-422.
  23. Antonio Ciccone & Giovanni Peri, 2005. "Long-Run Substitutability Between More and Less Educated Workers: Evidence from U.S. States, 1950-1990," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 652-663, November.
  24. D. S. Poskitt & C. L. Skeels, 2004. "Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small," Monash Econometrics and Business Statistics Working Papers 19/04, Monash University, Department of Econometrics and Business Statistics.
  25. Zongwu Cai & Ying Fang, 2013. "Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  26. Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
  27. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2011. "Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 87-99.
  28. Laszlo, Sonia, 2008. "Education, Labor Supply, and Market Development in Rural Peru," World Development, Elsevier, vol. 36(11), pages 2421-2439, November.
  29. Manuel Frondel & Colin Vance, 2013. "Fuel Taxes versus Efficiency Standards – An Instrumental Variable Approach," Ruhr Economic Papers 0445, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  30. D.S. Poskitt & C.L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Department of Economics - Working Papers Series 948, The University of Melbourne.
  31. Calhoun, Gray, 2011. "Hypothesis testing in linear regression when k/n is large," Journal of Econometrics, Elsevier, vol. 165(2), pages 163-174.
  32. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
  33. Naoto Kunitomo, 2012. "An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 881-910, October.
  34. 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.
  35. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
  36. 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(01), pages 42-86, February.
  37. Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  38. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department.
  39. Chirok Han & Peter C. B. Phillips, 2006. "GMM with Many Moment Conditions," Econometrica, Econometric Society, vol. 74(1), pages 147-192, 01.
  40. Brick, Ivan E. & Palia, Darius, 2007. "Evidence of jointness in the terms of relationship lending," Journal of Financial Intermediation, Elsevier, vol. 16(3), pages 452-476, July.
  41. Norman R. Swanson & John C. Chao, 2004. "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments," Econometric Society 2004 Far Eastern Meetings 668, Econometric Society.
  42. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012. "Optimal inference for instrumental variables regression with non-Gaussian errors," Journal of Econometrics, Elsevier, vol. 167(1), pages 1-15.
  43. Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2010. "On the asymptotic optimality of the LIML estimator with possibly many instruments," Journal of Econometrics, Elsevier, vol. 157(2), pages 191-204, August.
  44. repec:pit:wpaper:212 is not listed on IDEAS
  45. Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
  46. Forchini, Giovanni, 2010. "The Asymptotic Distribution Of The Liml Estimator In A Partially Identified Structural Equation," Econometric Theory, Cambridge University Press, vol. 26(03), pages 917-930, June.
  47. Frondel, Manuel & Vance, Colin, 2013. "Fuel Taxes versus Efficiency Standards – An Instrumental Variable Approach," Ruhr Economic Papers 445, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  48. Florens, Jean-Pierre & Van Bellegem, Sébastien, 2015. "Instrumental variable estimation in functional linear models," Journal of Econometrics, Elsevier, vol. 186(2), pages 465-476.
  49. Poskitt, D.S. & Skeels, C.L., 2007. "Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small," Journal of Econometrics, Elsevier, vol. 139(1), pages 217-236, July.
  50. Antonio Ciccone & Giovanni Peri, 2003. "Skills’ Substitutability and Technological Progress: U.S. States 1950-1990," CESifo Working Paper Series 1024, CESifo Group Munich.
  51. 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.
  52. Daniel A. Ackerberg & Paul J. Devereux, 2009. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 91(2), pages 351-362, May.
  53. Vance, Colin & Frondel, Manuel, 2015. "From fuel taxation to efficiency standards: A wrong turn in European climate protection?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113171, Verein für Socialpolitik / German Economic Association.
  54. Hansen, Christian & Kozbur, Damian, 2014. "Instrumental variables estimation with many weak instruments using regularized JIVE," Journal of Econometrics, Elsevier, vol. 182(2), pages 290-308.
  55. Ribeiro, André L.P. & Hotta, Luiz K., 2013. "An analysis of contagion among Asian countries using the canonical model of contagion," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 62-69.
  56. Givens, David, 2013. "Defining governance matters: A factor analytic assessment of governance institutions," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1026-1053.
  57. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
  58. Kussel, Gerhard & Frondel, Manuel, 2016. "Switching Response to Power Prices: Evidence from German Households," Annual Conference 2016 (Augsburg): Demographic Change 145728, Verein für Socialpolitik / German Economic Association.
  59. repec:pit:wpaper:209 is not listed on IDEAS
  60. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
  61. Annamaria Conti & Jerry Thursby & Marie Thursby, 2013. "Patents as Signals for Startup Financing," Journal of Industrial Economics, Wiley Blackwell, vol. 61(3), pages 592-622, 09.
  62. Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
  63. Phillips, Peter C.B., 2003. "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, vol. 19(03), pages 495-511, June.
  64. Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, Center for Economic and Financial Research (CEFIR).
  65. Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney, 2011. "Properties of the CUE estimator and a modification with moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 45-57.
  66. Arel-Bundock, Vincent, 2013. "A solution to the weak instrument bias in 2SLS estimation: Indirect inference with stochastic approximation," Economics Letters, Elsevier, vol. 120(3), pages 495-498.
  67. Okui, Ryo, 2011. "Instrumental variable estimation in the presence of many moment conditions," Journal of Econometrics, Elsevier, vol. 165(1), pages 70-86.
  68. John C. Chao & Norman R. Swanson, 2003. "Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments," Departmental Working Papers 200312, Rutgers University, Department of Economics.
  69. repec:zbw:rwirep:0445 is not listed on IDEAS
  70. Han, Chirok, 2008. "Detecting invalid instruments using L1-GMM," Economics Letters, Elsevier, vol. 101(3), pages 285-287, December.
  71. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  72. Yoonseok Lee & Ryo Okui, 2009. "A Specification Test for Instrumental Variables Regression with Many Instruments," Cowles Foundation Discussion Papers 1741, Cowles Foundation for Research in Economics, Yale University.
  73. Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
  74. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
  75. Lee, Lung-fei & Yu, Jihai, 2014. "Efficient GMM estimation of spatial dynamic panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 180(2), pages 174-197.
  76. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
  77. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  78. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
  79. Jaeger, David A. & Parys, Juliane, 2009. "On the Sensitivity of Return to Schooling Estimates to Estimation Methods, Model Specification, and Influential Outliers If Identification Is Weak," IZA Discussion Papers 3961, Institute for the Study of Labor (IZA).
  80. Cai, Zongwu & Fang, Ying & Su, Jia, 2012. "Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 180-185.
  81. repec:wyi:journl:002137 is not listed on IDEAS
  82. Eriksen, Michael D., 2010. "Homeownership subsidies and the marriage decisions of low-income households," Regional Science and Urban Economics, Elsevier, vol. 40(6), pages 490-497, November.
  83. Claudia R. Williamson & Carrie B. Kerekes, 2011. "Securing Private Property: Formal versus Informal Institutions," Journal of Law and Economics, University of Chicago Press, vol. 54(3), pages 537-572.
  84. Van Bellegem, Sébastien & Florens, Jean-Pierre, 2014. "Instrumental variable estimation in functional linear models," CORE Discussion Papers 2014056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  85. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
  86. Bun, Maurice J.G. & Windmeijer, Frank, 2011. "A comparison of bias approximations for the two-stage least squares (2SLS) estimator," Economics Letters, Elsevier, vol. 113(1), pages 76-79, October.
  87. Dobbelaere, Sabien, 2004. "Ownership, firm size and rent sharing in Bulgaria," Labour Economics, Elsevier, vol. 11(2), pages 165-189, April.
  88. Mardi Dungey & Vitali Alexeev & Jing Tian & Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91, pages 1-24, 06.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.