Cross-sectional averaging and instrumental variable estimation with many weak instruments

George Kapetanios and Massimiliano Marcellino

Economics Letters, 2010, vol. 108, issue 1, 36-39

Abstract: The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.

Keywords: Instrumental; variable; estimation; 2SLS; Cross-sectional; average (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:36-39

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