Instrumental variables estimation and inference in the presence of many exogenous regressors
Author:
Affiliation:
1. New Economic School, 47 Nakhimovsky prospect, Moscow 117418, Russian Federation E‐mail: sanatoly@nes.ru
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/16/1/27/27686932/ectj0027.pdf
Reference25 articles.
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2. Specification testing in models with many instruments;Anatolyev;Econometric Theory,2011
3. On the asymptotic optimality of the LIML estimator with possibly many instruments;Anderson;Journal of Econometrics,2010
4. Estimation of the parameters of a single equation in a complete system of stochastic equations;Anderson;Annals of Mathematical Statistics,1949
5. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution;Azzalini;Journal of the Royal Statistical Society,2003
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