ALTERNATIVE APPROXIMATIONS TO THE DISTRIBUTIONS OF INSTRUMENTAL VARIABLE ESTIMATORS

@inproceedings{Bekker1994ALTERNATIVEAT,
  title={ALTERNATIVE APPROXIMATIONS TO THE DISTRIBUTIONS OF INSTRUMENTAL VARIABLE ESTIMATORS},
  author={Paul A. Kleibergen Bekker},
  year={1994}
}
This paper considers the instrument variable and method-of-moments estimators, as generalizations of two-stage least squares and limited information maximum likelihood, of the coefficients of a single equation. Motivated by a simple principle, asymptotic distributions are derived based on a parameter sequence where both the number of instruments and the sample size increase. The approximations to the distributions provided by this sequence are more accurate than traditional ones. The instrument… CONTINUE READING

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