Instrumental Variables Estimation With Flexible Distributions

@inproceedings{Hansen2007InstrumentalVE,
  title={Instrumental Variables Estimation With Flexible Distributions},
  author={Christian Hansen and James B. McDonald and Whitney Newey},
  year={2007}
}
Instrumental variables are often associated with low estimator precision. This article explores efficiency gains that might be achievable using moment conditions that are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these estimators can achieve the semiparametric efficiency bound when the true error distribution is a member of the parametric family. Monte Carlo simulations demonstrate low efficiency loss in the case of normal… CONTINUE READING

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