Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Title: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Citation: Computational Statistics and Data Analysis, 2010, 54, 11, 2655-2675
The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and empirical applications highlight the relevance of Factor-GMM estimation, which is also easily implemented.
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