Parsimonious Estimation with Many Instruments
نویسندگان
چکیده
منابع مشابه
Parsimonious Estimation with Many Instruments
We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense, our method is equivalent to instrumental variables estimation that is based on principal components....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1465727