کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096207 | 1478578 | 2012 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
CUE with many weak instruments and nearly singular design
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper analyzes many weak moment asymptotics under the possibility of similar moments. The possibility of highly related moments arises when there are many of them. Knight and Fu (2000) designate the issue of similar regressors as the “nearly singular” design in the least squares case. In the nearly singular design, the sample variance converges to a singular limit term. However, Knight and Fu (2000) assume that on the nullspace of the limit term, the difference between the sample variance and the singular matrix converges in probability to a positive definite matrix when multiplied by an appropriate rate. We consider specifically Continuous Updating Estimator (CUE) with many weak moments under nearly singular design. We show that the nearly singular design affects the form of the limit of the many weak moment asymptotics that is introduced by Newey and Windmeijer (2009a). However, the estimator is still consistent and the Wald test has the standard Ï2 limit.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 422-441
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 422-441
نویسندگان
Mehmet Caner, NeÅe Yıldız,