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Asymptotic variance under many instruments: Numerical computations

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  • Abutaliev, Albert
  • Anatolyev, Stanislav

Abstract

In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the traditional variance, one term is due to instrument numerosity, and the last two appear if the model errors are non-normal. For a stylized instrumental variables model, we compute numerical values of these components to uncover how the four components are related to each other in magnitude.

Suggested Citation

  • Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:2:p:272-274
    DOI: 10.1016/j.econlet.2012.11.003
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    References listed on IDEAS

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