Asymptotic variance under many instruments: Numerical computations

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 118
Issue: 2
Pages: 272-274

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the traditional variance, one term is due to instrument numerosity, and the last two appear if the model errors are non-normal. For a stylized instrumental variables model, we compute numerical values of these components to uncover how the four components are related to each other in magnitude.

Technical Details

RePEc Handle
repec:eee:ecolet:v:118:y:2013:i:2:p:272-274
Journal Field
General
Author Count
2
Added to Database
2026-01-24