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Keyword: instrumental variable;
7 results found.
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Yukitoshi Matsushita and Taisuke Otsu
This paper studies second-order properties of the many instruments robust t-ratios based on the limited information maximum likelihood and Fuller estimators for instrumental variable regression models under the many inst...Read more...
12 May 2020
Karun Adusumilli and Taisuke Otsu
This paper considers nonparametric instrumental variable regression when the endogenous variable is contaminated with classical measurement error. Existing methods are inconsistent in the presence of measurement error. W...Read more...
21 July 2015
Lorenzo Camponovo and Taisuke Otsu
This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimme...Read more...
21 January 2014
Peter M Robinson and Supachoke Thawornkaiwong
Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...
Woocheol Kim and Oliver Linton
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an...Read more...
Xiaohong Chen, David T. Jacho-Chávez and Oliver Linton
A new way of constructing efficient semiparametric instrumental variable estimators is proposed. The method involves the combination of a large number of possibly inefficient estimators rather than combining the instrume...Read more...
Peter M Robinson and M. Gerolimetto
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions betwee...Read more...