Averaged Instrumental Variables Estimators

Abstract

We develop averaged instrumental variables estimators as a way to deal with many weak instruments. We propose a weighted average of the preliminary k-class estimators, where each estimator is obtained using different subsets of the available instrumental variables. The averaged estimators are shown to be consistent and to satisfy asymptotic normality… (More)

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Cite this paper

@inproceedings{Lee2015AveragedIV, title={Averaged Instrumental Variables Estimators}, author={Yoonseok Lee and Yu Zhou}, year={2015} }