Article ID Journal Published Year Pages File Type
5061436 Economics Letters 2010 4 Pages PDF
Abstract
The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Cross-sectional averaging and instrumental variable estimation with many weak instruments
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