Arbeitspapier
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. However, even if the factor structure is weak or nonexistent, our method, unlike the principal components approach, still yields consistent estimates. Indeed, simulations indicate that our approach always dominates standard instrumental variables estimation, regardless of whether the factor relationship underlying the set of instruments is strong, weak, or absent.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 386
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
Econometric Modeling: Other
Estimation: General
- Thema
-
Instrumental variables estimation
many instruments
factor models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Groen, Jan J. J.
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2009
- 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
- Groen, Jan J. J.
- Kapetanios, George
- Federal Reserve Bank of New York
Entstanden
- 2009
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