Date: 2010
Type: Article
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
Economics Letters, 2010, 108, 1, 36-39
KAPETANIOS, George, MARCELLINO, Massimiliano, Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments, Economics Letters, 2010, 108, 1, 36-39
- https://hdl.handle.net/1814/15820
Retrieved from Cadmus, EUI Research Repository
The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.
Cadmus permanent link: https://hdl.handle.net/1814/15820
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