Instrumental variable estimation with heteroskedasticity and many instruments
Instrumental variable estimation with heteroskedasticity and many instruments
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Publisher
New Haven, CT: The Econometric Society
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Language
English
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Publisher
New Haven, CT: The Econometric Society
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Contents
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standa...
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Full title
Instrumental variable estimation with heteroskedasticity and many instruments
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TN_cdi_proquest_journals_2299166125
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2299166125
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ISSN
1759-7331,1759-7323
E-ISSN
1759-7331
DOI
10.3982/QE89
