MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE
Author:
Affiliation:
1. CERGE-EI and New Economic School
Funder
Grantová Agentura České Republiky
Publisher
Wiley
Subject
Economics and Econometrics
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/joes.12295/fullpdf
Reference104 articles.
1. Asymptotic variance under many instruments: numerical computations;Abutaliev;Economics Letters,2013
2. Improved JIVE estimators for overidentified linear models with and without heteroskedasticity;Ackerberg;Review of Economics and Statistics,2009
3. Some properties of the LIML estimator in a dynamic panel structural equation;Akashi;Journal of Econometrics,2012
4. The time series and cross-section asymptotics of dynamic panel data estimators;Alvarez;Econometrica,2003
5. Inference in regression models with many regressors;Anatolyev;Journal of Econometrics,2012
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4. On the local power of some tests of strict exogeneity in linear fixed effects models;Econometrics and Statistics;2021-05
5. (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models;Economics Letters;2020-08
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