Instrumental variable estimation with heteroskedasticity and many instruments

Citations

Cited by:

1. Grant, Matthew & Soderbery, Anson, 2024. "Heteroskedastic supply and demand estimation: Analysis and testing," Journal of International Economics, Elsevier, vol. 150(C).
2. Morricone, Serena & Munari, Federico & Oriani, Raffaele & de Rassenfosse, Gaetan, 2017. "Commercialization Strategy and IPO Underpricing," Research Policy, Elsevier, vol. 46(6), pages 1133-1141.
   • Serena Morricone & Federico Munari & Raffaele Oriani & Gaetan de Rassenfosse, 2017. "Commercialization Strategy and IPO Underpricing," Working Papers 4, Chair of Science, Technology, and Innovation Policy.
3. Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
4. Qingliang Fan & Wei Zhong, 2018. "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 388-399, July.
   • Fan, Qingliang & Zhong, Wei, 2018. "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective," IRTG 1792 Discussion Papers 2018-052, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
5. John C. Chao & Jerry A. Hausman & Whitney K. Newey & Norman R. Swanson & Tiemen Woutersen, 2012. "An Expository Note on the Existence of Moments of Fuller and HFUL Estimators," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 87-106, Emerald Group Publishing Limited.
   • John Chao & Jerry Hausman & Whitney Newey & Norman Swanson & Tiemen Woutersen, 2013. "An Expository Note on the Existence of Moments of Fuller and HFUL Estimators," Departmental Working Papers 201311, Rutgers University, Department of Economics.
6. Steven Andrew Culpepper & Herman Aguinis & Justin L. Kern & Roger Millsap, 2019. "High-Stakes Testing Case Study: A Latent Variable Approach for Assessing Measurement and Prediction Invariance," Psychometrika, Springer;The Psychometric Society, vol. 84(1), pages 285-309, March.
7. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Jackknife empirical likelihood: small bandwidth, sparse network and high-dimension asymptotic," LSE Research Online Documents on Economics 106488, London School of Economics and Political Science, LSE Library.
8. Tadao Hoshino, 2024. "Functional Spatial Autoregressive Models," Papers 2402.14763, arXiv.org, revised Oct 2024.
9. Frank Windmeijer, 2018. "Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models," Bristol Economics Discussion Papers 18/696, School of Economics, University of Bristol, UK.
10. Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
    • Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
    • Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
    • Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
    • Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
11. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
    • Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
    • Marine Carrasco & Guy Tchuente, 2015. "Regularized LIML for many instruments," Studies in Economics 1515, School of Economics, University of Kent.
12. Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
    • P.A. Bekker & F. Crudu, 2013. "Jackknife Instrumental Variable Estimation with Heteroskedasticity," Working Paper CRENoS 201313, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
13. Black, Bernard & French, Eric & McCauley, Jeremy & Song, Jae, 2024. "The effect of disability insurance receipt on mortality," Journal of Public Economics, Elsevier, vol. 229(C).
    • Black, B. & French, E. & McCauley, J. & Song, J., 2023. "The Effect of Disability Insurance Receipt on Mortality," Cambridge Working Papers in Economics 2375, Faculty of Economics, University of Cambridge.
14. Alessia Lo Turco & Daniela Maggioni & Federico Trionfetti, 2024. "Immigration and the skill premium," Working Papers hal-04556685, HAL.
    • Alessia Lo Turco & Daniela Maggioni & Federico Trionfetti, 2024. "Immigration and the skill premium," AMSE Working Papers 2414, Aix-Marseille School of Economics, France.
15. Yukitoshi Matsushita & Taisuke Otsu, 2020. "Jackknife Lagrange multiplier test with many weak instruments," STICERD - Econometrics Paper Series 613, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
16. Crudu, Federico & Mellace, Giovanni & Sándor, Zsolt, 2021. "Inference In Instrumental Variable Models With Heteroskedasticity And Many Instruments," Econometric Theory, Cambridge University Press, vol. 37(2), pages 281-310, April.
    • Federico Crudu & Giovanni Mellace & Zsolt Sandor, 2017. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 761, Department of Economics, University of Siena.
    • Federico Crudu & Giovanni Mellace & Zsolt Sándor, 2020. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 821, Department of Economics, University of Siena.
17. Amanda Linell & Edwin Muchapondwa & Herbert Ntuli & Martin Sjöstedt & Sverker C. Jagers, 2018. "Factors influencing people’s perceptions towards conservation of transboundary wildlife resources. The case of the Great-Limpopo Trans-frontier Conservation Area," Working Papers 765, Economic Research Southern Africa.
18. A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012. "Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain," Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
    • Alexandre Belloni & D. Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse models and methods for optimal instruments with an application to eminent domain," CeMMAP working papers CWP31/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Alexandre Belloni & Daniel Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain," Papers 1010.4345, arXiv.org, revised Apr 2015.
19. Wang, Wenjie, 2022. "Wild bootstrap test of overidentification with many instruments and heteroskedasticity," MPRA Paper 115168, University Library of Munich, Germany.
20. Naoto Kunitomo, 2008. "An Optimal Modification of the LIML Estimation for Many Instruments and Persistent Heteroscedasticity," CIRJE F-Series CIRJE-F-576, CIRJE, Faculty of Economics, University of Tokyo.
21. 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.
22. Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
23. Bekker, Paul & Wansbeek, Tom, 2016. "Simple many-instruments robust standard errors through concentrated instrumental variables," Economics Letters, Elsevier, vol. 149(C), pages 52-55.
24. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
25. Zhaonan Qu & Yongchan Kwon, 2024. "Distributionally Robust Instrumental Variables Estimation," Papers 2410.15634, arXiv.org, revised Dec 2024.
26. Michal Kolesár, 2013. "Estimation in an Instrumental Variables Model With Treatment Effect Heterogeneity," Working Papers 2013-2, Princeton University. Economics Department..
27. Johannes W. Ligtenberg, 2023. "Inference in IV models with clustered dependence, many instruments and weak identification," Papers 2306.08559, arXiv.org, revised Mar 2024.
28. Attanasio, Orazio & Low, Hamish & Sánchez-Marcos, Virginia & Levell, Peter, 2015. "Aggregating Elasticities: Intensive and Extensive Margins of Female Labour Supply," CEPR Discussion Papers 10732, C.E.P.R. Discussion Papers.
    • Attanasio, O. & Levell, P. & Low, H. & Sanchez-Marcos, V., 2017. "Aggregating Elasticities: Intensive and Extensive Margins of Female Labour Supply," Cambridge Working Papers in Economics 1711, Faculty of Economics, University of Cambridge.
    • Orazio Attanasio & Peter Levell & Hamish Low & Orazio Attanasio, 2015. "Aggregating Elasticities: Intensive and Extensive Margins of Female Labour Supply," Cambridge Working Papers in Economics 1558, Faculty of Economics, University of Cambridge.
    • Orazio Attanasio & Peter Levell & Hamish Low & Virginia Sánchez-Marcos, 2015. "Aggregating Elasticities: Intensive and Extensive Margins of Female Labour Supply," NBER Working Papers 21315, National Bureau of Economic Research, Inc.
    • Orazio Attanasio & Peter Levell & Hamish Low & Virginia Sánchez-Marcos, 2015. "Aggregating Elasticities: Intensive and Extensive Margins of Female Labour Supply," Cambridge Working Papers in Economics 1519, Faculty of Economics, University of Cambridge.
29. Morales-Oñate, Víctor & Crudu, Federico & Bevilacqua, Moreno, 2021. "Blockwise Euclidean likelihood for spatio-temporal covariance models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 176-201.
    • Víctor Morales-Oñate & Federico Crudu & Moreno Bevilacqua, 2020. "Blockwise Euclidean likelihood for spatio-temporal covariance models," Department of Economics University of Siena 822, Department of Economics, University of Siena.
30. Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
31. Tom Boot & Didier Nibbering, 2024. "Inference on LATEs with covariates," Papers 2402.12607, arXiv.org, revised Nov 2024.
32. Regis Barnichon & Geert Mesters, 2020. "Identifying Modern Macro Equations with Old Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2255-2298.
    • Régis Barnichon & Geert Mesters, 2019. "Identifying Modern Macro Equations with Old Shocks," Working Papers 1097, Barcelona School of Economics.
    • Barnichon, Regis & Mesters, Geert, 2019. "Identifying Modern Macro Equations with Old Shocks," CEPR Discussion Papers 13765, C.E.P.R. Discussion Papers.
    • Régis Barnichon & Geert Mesters, 2019. "Identifying modern macro equations with old shocks," Economics Working Papers 1659, Department of Economics and Business, Universitat Pompeu Fabra.
33. Naoto Kunitomo & Yukitoshi Matsushita, 2008. "Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity," CIRJE F-Series CIRJE-F-588, CIRJE, Faculty of Economics, University of Tokyo.
34. Matsushita, Yukitoshi & Otsu, Taisuke, 2023. "Second-order refinements for t-ratios with many instruments," Journal of Econometrics, Elsevier, vol. 232(2), pages 346-366.
35. Matsushita, Yukitoshi & Otsu, Taisuke, 2024. "A jackknife Lagrange multiplier test with many weak instruments," LSE Research Online Documents on Economics 116392, London School of Economics and Political Science, LSE Library.
36. Paul Goldsmith-Pinkham & Isaac Sorkin & Henry Swift, 2020. "Bartik Instruments: What, When, Why, and How," American Economic Review, American Economic Association, vol. 110(8), pages 2586-2624, August.
    • Paul Goldsmith-Pinkham & Isaac Sorkin & Henry Swift, 2018. "Bartik Instruments: What, When, Why, and How," NBER Working Papers 24408, National Bureau of Economic Research, Inc.
37. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
38. 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.
    • Christian Hansen & Jerry Hausman & Whitney K. Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
39. Murray Michael P., 2017. "Linear Model IV Estimation When Instruments Are Many or Weak," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
40. Elias Einiö, 2016. "The loss of production work: evidence from quasi-experimental identification of labour demand functions," CEP Discussion Papers dp1451, Centre for Economic Performance, LSE.
41. 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.
    • Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
    • Kolesar, Michal & Chetty, Raj & Friedman, John & Glaeser, Edward Ludwig & Imbens, Guido, 2015. "Identification and Inference With Many Invalid Instruments," Scholarly Articles 27769098, Harvard University Department of Economics.
42. Carlos Velasco & Xuexin Wang, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
43. Windmeijer, Frank, 2024. "Testing underidentification in linear models, with applications to dynamic panel and asset pricing models," Journal of Econometrics, Elsevier, vol. 240(2).
44. Eric French & Jae Song, 2014. "The Effect of Disability Insurance Receipt on Labor Supply," American Economic Journal: Economic Policy, American Economic Association, vol. 6(2), pages 291-337, May.
    • Eric French & Jae Song, 2009. "The effect of disability insurance receipt on labor supply," Working Paper Series WP-09-05, Federal Reserve Bank of Chicago.
45. Pierre Chausse, 2017. "Regularized Empirical Likelihood as a Solution to the No Moment," Working Papers 1708, University of Waterloo, Department of Economics, revised Nov 2017.
46. 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.
    • Ackerberg, Daniel & Devereux, Paul J., 2008. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," CEPR Discussion Papers 6926, C.E.P.R. Discussion Papers.
    • Daniel A. Ackerberg & Paul J. Devereux, 2008. "Improved Jive Estimators for Overidentified Linear Models with and without Heteroskedasticity," Working Papers 200817, School of Economics, University College Dublin.
47. Chao, John C. & Swanson, Norman R. & Woutersen, Tiemen, 2023. "Jackknife estimation of a cluster-sample IV regression model with many weak instruments," Journal of Econometrics, Elsevier, vol. 235(2), pages 1747-1769.
48. Anna Mikusheva & Liyang Sun, 2024. "Weak identification with many instruments," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages -28.
    • Anna Mikusheva & Liyang Sun, 2023. "Weak Identification with Many Instruments," Papers 2308.09535, arXiv.org, revised Jan 2024.
49. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
50. Huntington-Klein Nick, 2020. "Instruments with Heterogeneous Effects: Bias, Monotonicity, and Localness," Journal of Causal Inference, De Gruyter, vol. 8(1), pages 182-208, January.
51. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
52. 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.
53. Stanislav Anatolyev, 2013. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Econometrics Journal, Royal Economic Society, vol. 16(1), pages 27-72, February.
    • Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, New Economic School (NES).
    • Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, Center for Economic and Financial Research (CEFIR).
54. Keisuke Hirano & Jack R. Porter, 2015. "Location Properties of Point Estimators in Linear Instrumental Variables and Related Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 720-733, December.
55. Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
56. Jorge Gallego & Stanislao Maldonado & Lorena Trujillo, 2018. "Blessing a Curse? Institutional Reform and Resource Booms in Colombia," Working Papers 122, Peruvian Economic Association.
    • Jorge Gallego & Stanislao Maldonado & Lorena Trujillo, 2018. "Blessing a Curse? Institutional Reform and Resource Booms in Colombia," Documentos de Trabajo 16225, Universidad del Rosario.
57. Calhoun, Gray, 2011. "Hypothesis testing in linear regression when k/n is large," Journal of Econometrics, Elsevier, vol. 165(2), pages 163-174.
    • Calhoun, Gray, 2010. "Hypothesis Testing in Linear Regression when K/N is Large," Staff General Research Papers Archive 32216, Iowa State University, Department of Economics.
58. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.
59. Thomas Wiemann, 2023. "Optimal Categorical Instrumental Variables," Papers 2311.17021, arXiv.org, revised May 2024.
60. Einiö, Elias, 2016. "The loss of production work: evidence from quasiexperimental identification of labour demand functions," LSE Research Online Documents on Economics 69019, London School of Economics and Political Science, LSE Library.
61. Agan, Amanda & Doleac, Jennifer & Harvey, Anna, 2021. "Misdemeanor Prosecution," IZA Discussion Papers 14234, Institute of Labor Economics (IZA).
    • Amanda Y. Agan & Jennifer L. Doleac & Anna Harvey, 2021. "Misdemeanor Prosecution," NBER Working Papers 28600, National Bureau of Economic Research, Inc.
    • Amanda Agan & Jennifer Doleac & Anna Harvey, 2021. "Misdemeanor Prosecution," Working Papers 2021-014, Human Capital and Economic Opportunity Working Group.
62. Bekker, Paul A. & Crudu, Federico, 2012. "Symmetric Jackknife Instrumental Variable Estimation," MPRA Paper 37853, University Library of Munich, Germany.
63. Alyssa G. Anderson & Wenxin Du & Bernd Schlusche, 2021. "Arbitrage Capital of Global Banks," Finance and Economics Discussion Series 2021-032, Board of Governors of the Federal Reserve System (U.S.).
64. Johannes W. Ligtenberg & Tiemen Woutersen, 2024. "Multidimensional clustering in judge designs," Papers 2406.09473, arXiv.org.
65. Vahagn Galstyan, 2018. "LIML estimation of import demand and export supply elasticities," Applied Economics, Taylor & Francis Journals, vol. 50(17), pages 1910-1918, April.
    • Vahagn Galstyan, 2016. "LIML Estimation of Import Demand and Export Supply Elasticities," Trinity Economics Papers tep0316, Trinity College Dublin, Department of Economics, revised Jun 2016.
66. Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
67. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2014. "High-Dimensional Methods and Inference on Structural and Treatment Effects," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 29-50, Spring.
    • Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013. "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers 59/13, Institute for Fiscal Studies.
    • Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013. "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers CWP59/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
68. Christopher Bockel-Rickermann & Sam Verboven & Tim Verdonck & Wouter Verbeke, 2023. "A Causal Perspective on Loan Pricing: Investigating the Impacts of Selection Bias on Identifying Bid-Response Functions," Papers 2309.03730, arXiv.org.
69. 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.
70. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
71. Yukitoshi Matsushita & Taisuke Otsu, 2020. "Second-order refinements for t-ratios with many instruments," STICERD - Econometrics Paper Series 612, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
72. Steven F. Lehrer & Weili Ding, 2017. "Are genetic markers of interest for economic research?," IZA Journal of Labor Policy, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 6(1), pages 1-23, December.
73. Jan F. Kiviet & Qu Feng, 2014. "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," UvA-Econometrics Working Papers 14-06, Universiteit van Amsterdam, Dept. of Econometrics.
    • Jan F. KIVIET & Qu FENG, 2014. "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," Economic Growth Centre Working Paper Series 1413, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    • Jan Frederik Kiviet & Qu Feng, 2014. "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," CESifo Working Paper Series 5088, CESifo.
74. Marine Carrasco & Guy Tchuente, 2016. "Efficient Estimation with Many Weak Instruments Using Regularization Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1609-1637, December.
    • Guy Tchuente & Marine Carrasco, 2013. "Efficient estimation with many weak instruments using regularization techniques," CIRANO Working Papers 2013s-21, CIRANO.
    • Marine Carrasco & Guy Tchuente, 2015. "Efficient estimation with many weak instruments using regularization techniques," Studies in Economics 1517, School of Economics, University of Kent.
75. Eric Gautier & Alexandre Tsybakov, 2011. "High-Dimensional Instrumental Variables Regression and Confidence Sets," Working Papers 2011-13, Center for Research in Economics and Statistics.
    • Eric Gautier & Christiern Rose, 2021. "High-dimensional instrumental variables regression and confidence sets," Working Papers hal-00591732, HAL.
    • Gautier, Eric & Rose, Christiern & Tsybakov, Alexandre, 2018. "High-dimensional instrumental variables regression and confidence sets," TSE Working Papers 18-930, Toulouse School of Economics (TSE), revised Nov 2019.
76. Marine Carrasco & Mohamed Doukali, 2022. "Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 71-97.
77. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
78. Tom Wansbeek & Dennis Prak, 2017. "LIML in the static linear panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 385-395, March.
79. Einiö, Elias, 2015. "The Loss of Production Work: Identification of Demand Shifts Based on Local Soviet Trade Shocks," Working Papers 61, VATT Institute for Economic Research.
80. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
81. Eric French & Jae Song, 2012. "The effect of Disability Insurance receipt on labor supply: a dynamic analysis," Working Paper Series WP-2012-12, Federal Reserve Bank of Chicago.
82. Hübler, Olaf, 2013. "Methods in empirical economics - a selective review with applications," Hannover Economic Papers (HEP) dp-513, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
83. Ng Serena & Bai Jushan, 2009. "Selecting Instrumental Variables in a Data Rich Environment," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-34, April.
84. Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
85. Canay, Ivan A., 2010. "Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel," Journal of Econometrics, Elsevier, vol. 156(2), pages 284-303, June.
86. Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
    • Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
87. Folasade Bosede Adegboye & Uchechukwu Emena Okorie, 2023. "Fragility of FDI flows in sub-Saharan Africa region: does the paradox persist?," Future Business Journal, Springer, vol. 9(1), pages 1-9, December.
88. Florens, Jean-Pierre & Van Bellegem, Sébastien, 2015. "Instrumental variable estimation in functional linear models," Journal of Econometrics, Elsevier, vol. 186(2), pages 465-476.
89. Matsushita, Yukitoshi & Otsu, Taisuke, 2023. "Second-order refinements for t-ratios with many instruments," LSE Research Online Documents on Economics 111065, London School of Economics and Political Science, LSE Library.
90. Priebe, Jan, 2011. "Child Costs and the Causal Effect of Fertility on Female Labor Supply: An investigation for Indonesia 1993-2008," Proceedings of the German Development Economics Conference, Berlin 2011 67, Verein für Socialpolitik, Research Committee Development Economics.
91. Huntington-Klein Nick, 2020. "Instruments with Heterogeneous Effects: Bias, Monotonicity, and Localness," Journal of Causal Inference, De Gruyter, vol. 8(1), pages 182-208, January.
92. Wang, Wenjie, 2020. "On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity," MPRA Paper 104858, University Library of Munich, Germany.
93. 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 of Labor Economics (IZA).
94. Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "The First-stage F Test with Many Weak Instruments," Papers 2302.14423, arXiv.org, revised Sep 2024.
95. Van Bellegem, Sébastien & Florens, Jean-Pierre, 2014. "Instrumental variable estimation in functional linear models," LIDAM Discussion Papers CORE 2014056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).