ML and GMM with concentrated instruments in the static panel data model

Paul Bekker and Joëlle van Essen

Econometric Reviews, 2020, vol. 39, issue 2, 181-195

Abstract: We study the asymptotic behavior of instrumental variable estimators in the static panel model under many-instruments asymptotics. We provide new estimators and standard errors based on concentrated instruments as alternatives to an estimator based on maximum likelihood. We prove that the latter estimator is consistent under many-instruments asymptotics only if the starting value in an iterative procedure is root-N consistent. A similar approach for continuous updating GMM shows the derivation is nontrivial. For the standard cross-sectional case (T = 1), the simple formulation of standard errors offer an alternative to earlier formulations.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2019.1580946 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:39:y:2020:i:2:p:181-195

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2019.1580946

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().