Cross-sectional averaging and instrumental variable estimation with many weak instruments

被引：3
|
作者：
Kapetanios, George [1 ]
Marcellino, Massimiliano [2 ]
机构：
[1] Univ London, Dept Econ, London E1 4NS, England
[2] Bocconi Univ, EUI Dept Econ, I-50133 Milan, Italy
来源：
ECONOMICS LETTERS | 2010年 / 108卷 / 01期
关键词：
Instrumental variable estimation; 2SLS; Cross-sectional average; DISTRIBUTIONS; RELEVANCE; NUMBER;
D O I：
10.1016/j.econlet.2010.03.013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：36 / 39
页数：4
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