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An alternative way of computing efficient instrumental variable estimators

Chen, Xiaohong, Linton, Oliver and Jacho-Chávez, David T. (2009) An alternative way of computing efficient instrumental variable estimators. Econometrics (EM/2009/536). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

A new way of constructing efficient semiparametric instrumental variable estimators is proposed. The method involves the combination of a large number of possibly inefficient estimators rather than combining the instruments into an optimal instrument function. The consistency and asymptotic normality is established for a class of estimators that are linear combinations of a set of√�� �� consistent estimators whose cardinality increases with sample size. It is shown that the semiparametrically efficient estimator lies in this class. The proofs do not rely on smoothness of underlying criterion functions. Potential use of the estimator can overcome the undersized sample problem. in simultaneous equation system estimation.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2009 The Authors
Divisions: STICERD
Subjects: L Education > LB Theory and practice of education > LB2300 Higher Education
JEL classification: I - Health, Education, and Welfare > I2 - Education > I23 - Higher Education Research Institutions
Sets: Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 18 Jul 2014 13:43
Last Modified: 23 Dec 2019 00:25
Funders: Suntory and Toyota International Centres for Economics and Related Disciplines, National Science Foundation, Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/58016

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