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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Staff Report ; No. 386
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
Econometric Modeling: Other
Estimation: General
- Subject
-
Instrumental variables estimation
many instruments
factor models
- Event
-
Geistige Schöpfung
- (who)
-
Groen, Jan J. J.
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of New York
- (where)
-
New York, NY
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Groen, Jan J. J.
- Kapetanios, George
- Federal Reserve Bank of New York
Time of origin
- 2009
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