Regularized LIML for Many Instruments
نویسندگان
چکیده
منابع مشابه
An Optimal Modification of the LIML Estimation for Many Instruments and Persistent Heteroscedasticity
We consider the estimation of coefficients of a structural equation with many instrumental variables in a simultaneous equation system. It is mathematically equivalent to an estimating equation estimation or a reduced rank regression in the statistical linear models when the number of restrictions or the dimension increases with the sample size. As a semi-parametric method, we propose a class o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2342170