Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
417749 | Computational Statistics & Data Analysis | 2010 | 21 Pages |
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
Authors
George Kapetanios, Massimiliano Marcellino,