Asymptotic variance under many instruments: Numerical computations

Albert Abutaliev and Stanislav Anatolyev

Economics Letters, 2013, vol. 118, issue 2, 272-274

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.

Keywords: Many instruments; Asymptotic variance; LIML; Non-normality (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:2:p:272-274

DOI: 10.1016/j.econlet.2012.11.003

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