Počet záznamů: 1
Many instruments and/or regressors: a friendly guide
- 1.
SYSNO ASEP 0504906 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Many instruments and/or regressors: a friendly guide Tvůrce(i) Anatolyev, Stanislav (NHU-C) Zdroj.dok. Journal of Economic Surveys. - : Wiley - ISSN 0950-0804
Roč. 33, č. 2 (2019), s. 689-726Poč.str. 38 s. Jazyk dok. eng - angličtina Země vyd. GB - Velká Británie Klíč. slova alternative asymptotic theory ; dimension asymptotics ; instrumental variables Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics CEP GA17-26535S GA ČR - Grantová agentura ČR Způsob publikování Omezený přístup Institucionální podpora NHU-C - Progres-Q24 UT WOS 000460656200013 EID SCOPUS 85056467488 DOI 10.1111/joes.12295 Anotace This paper surveys the state of the art in the econometrics of regression models with many instruments or many regressors based on alternative – namely, dimension – asymptotics. We list critical results of dimension asymptotics that lead to better approximations of properties of familiar and alternative estimators and tests when the instruments and/or regressors are numerous. Then, we consider the problem of estimation and inference in the basic linear instrumental variables regression setup with many strong instruments. We describe the failures of conventional estimation and inference, as well as alternative tools that restore consistency and validity. We then add various other features to the basic model such as heteroskedasticity, instrument weakness, etc., in each case providing a review of the existing tools for proper estimation and inference. Subsequently, we consider a related but different problem of estimation and testing in a linear mean regression with many regressors. We also describe various extensions and connections to other settings, such as panel data models, spatial models, time series models, and so on. Finally, we provide practical guidance regarding which tools are most suitable to use in various situations when many instruments and/or regressors turn out to be an issue. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2020 Elektronická adresa http://dx.doi.org/10.1111/joes.12295
Počet záznamů: 1