OPTIMAL INFERENCE WITH MANY INSTRUMENTS

By Jinyong Hahn. Econometric Theory, 2002

46 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9a60f4a92a950011297b25e49adfb496ce7a6656

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Christian Hansen
2. Victor Chernozhukov
3. Alexandre Belloni
4. Whitney K. Newey
5. Donald W. K. Andrews
6. Norman R. Swanson
7. Jushan Bai
8. James H. Stock

In Management Science and Operations Research

1. Donald W. K. Andrews
2. Norman R. Swanson
3. Christian Hansen
4. James H. Stock
5. Daniel L. Chen
6. Naoto Kunitomo
7. Victor Chernozhukov
8. Alexandre Belloni

Citations in the corpus

• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both N and T are Large (2002, unknown): “From (14), we obtain °°°e0j∆1 −∆2 3e α, e Ψ ́°°°2 = ej à Ψ⊗ (Im − θ0) à lim n→∞ 1 n n X”
• On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments (2010, background): “Furthermore, Hahn (2002) has derived an asymptotic lower bound when G2 = 1,K1 = 0 and the disturbances are normally distributed.”
• Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain (2012, methodology): “We mainly use the term “series instruments” and contrast our results with those in the seminal work of Newey (1990) and Hahn (2002), though our results are not limited to canonical series regressors as in Newey (1990) and Hahn (2002).”
• Consistent Estimation with a Large Number of Weak Instruments (2005, background): “(2001), Hahn, Hausman, and Kuersteiner (2001), Hahn (2002), Hahn and Inoue (2002), and Chamberlain and”
• Instrumental Variables: An Econometrician's Perspective (2014, unknown): “A key finding in Bekker (1994) is that under such sequences one of the leading estimators, TwoStage-Least-Squares (TSLS, see the Appendix for details) estimator is no longer consistent, whereas another estimator, Limited Information Maximum Likelihood (LIML, again see the Appendix for details) estim”
• Testing with many weak instruments (2007, methodology): “Many IV asymptotics (with strong IVs) have been employed in Anderson (1976), Kunitomo (1980), Morimune (1983), Bekker (1994), Donald and Newey (2001), Hahn (2002), Hahn et al. (2004), and Hansen et al. (2005) among others.”