Article ID Journal Published Year Pages File Type
417749 Computational Statistics & Data Analysis 2010 21 Pages PDF
Abstract

The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and empirical applications highlight the relevance of Factor-GMM estimation, which is also easily implemented.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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