Arbeitspapier
Instrumental variables estimation with flexible distributions
Instrumental variables are often associated with low estimator precision. This paper explores efficiency gains which might be achievable using moment conditions which are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these estimators can achieve the semiparametric efficiency bound when the true error distribution is a member of the parametric family. Monte Carlo simulations demonstrate low efficiency loss in the case of normal error distributions and potentially significant efficiency improvements in the case of thick-tailed and/or skewed error distributions.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP21/07
- Klassifikation
-
Wirtschaft
- Thema
-
Instrumentalvariablen-Schätzmethode
Schätztheorie
Monte-Carlo-Methode
Statistischer Fehler
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hansen, Christian
Newey, Whitney
McDonald, James B.
Newey, Whitney
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2007
- DOI
-
doi:10.1920/wp.cem.2007.2107
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hansen, Christian
- Newey, Whitney
- McDonald, James B.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2007
Ähnliche Objekte (12)
Nonparametric instrumental variable estimation
Flexible instrumental variable distributional regression
Estimation with many instrumental variables
Time-varying instrumental variable estimation
Nonparametric instrumental variable estimation under monotonicity
Instrumental Variable Estimation for Duration Data
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation for nonparametric models
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation with partially missing instruments
Non-asymptotic inference in instrumental variables estimation
Non-asymptotic inference in instrumental variables estimation
Nonparametric instrumental variable estimation
Flexible instrumental variable distributional regression
Estimation with many instrumental variables
Time-varying instrumental variable estimation
Nonparametric instrumental variable estimation under monotonicity
Instrumental Variable Estimation for Duration Data
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation for nonparametric models
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation with partially missing instruments
Non-asymptotic inference in instrumental variables estimation
Non-asymptotic inference in instrumental variables estimation
Nonparametric instrumental variable estimation
Flexible instrumental variable distributional regression
Estimation with many instrumental variables
Time-varying instrumental variable estimation
Nonparametric instrumental variable estimation under monotonicity
Instrumental Variable Estimation for Duration Data
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation for nonparametric models
Nonparametric instrumental variable estimation under monotonicity
Instrumental variables estimation with partially missing instruments
Non-asymptotic inference in instrumental variables estimation