OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

B-Tier
Journal: Econometric Theory
Year: 2009
Volume: 25
Issue: 3
Pages: 793-805

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

Abstract

This paper studies the asymptotic behavior of a Gaussian linear instrumental variables model in which the number of instruments diverges with the sample size. Asymptotic efficiency bounds are obtained for rotation invariant inference procedures and are shown to be attainable by procedures based on the limited information maximum likelihood estimator. The bounds are obtained by characterizing the limiting experiment associated with the model induced by the rotation invariance restriction.

Technical Details

RePEc Handle
repec:cup:etheor:v:25:y:2009:i:03:p:793-805_09
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25