Publication

Factor-GMM estimation with large sets of possibly weak instruments

Thumbnail Image
License
Full-text via DOI
ISBN
ISSN
1473-0278
Issue Date
Type of Publication
Keyword(s)
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Citation
Queen Mary University of London; Working Papers; 2006/577
Cite
KAPETANIOS, George, MARCELLINO, Massimiliano, Factor-GMM estimation with large sets of possibly weak instruments, Queen Mary University of London, Working Papers, 2006/577 - https://hdl.handle.net/1814/42367
Abstract
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can provide a summary of a large set of instruments. Further, the situation where many weak instruments exist is also considered in the context of factor models. Theoretical results, simulation experiments and empirical applications highlight the relevance and simplicity of Factor-GMM estimation.
Table of Contents
Additional Information
External Links
Publisher
Version
Research Projects
Sponsorship and Funder Information