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- W2292176388 abstract "The problem of weak instruments is due to a very small concentration parameter. To boost the concentration parameter, we propose to increase the number of instruments to a large number or even up to a continuum. However, in finite samples, the inclusion of an excessive number of moments may be harmful. To address this issue, we use regularization techniques as in Carrasco (2012) and Carrasco and Tchuente (2013). We show that normalized regularized 2SLS and LIML are consistent and asymptotically normally distributed. Moreover, their asymptotic variances reach the semiparametric efficiency bound unlike most competing estimators. Our simulations show that the leading regularized estimators (LF and T of LIML) work very well (is nearly median unbiased) even in the case of relatively weak instruments." @default.
- W2292176388 created "2016-06-24" @default.
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- W2292176388 date "2013-07-01" @default.
- W2292176388 modified "2023-09-27" @default.
- W2292176388 title "Efficient estimation with many weak instruments using regularization techniques" @default.
- W2292176388 hasPublicationYear "2013" @default.
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