文章基本信息

标题：An Alternative Way of Computing Efficient Instrumental Variable Estimators
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作者：Xiaohong Chen ; David T. Jacho-Chávez ; Oliver Linton 等
期刊名称：Japanese Studies Programme Papers
出版年度：2009
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：A new way of constructing efficient semiparametric instrumental variable estimators is proposed. The method involves the combination of a large number of possibly inefficient estimators rather than combining the instruments into an optimal instrument function. The consistency and asymptotic normality is established for a class of estimators that are linear combinations of a set of√..consistent estimators whose cardinality increases with sample size. It is shown that the semiparametrically efficient estimator lies in this class. The proofs do not rely on smoothness of underlying criterion functions. Potential use of the estimator can overcome the undersized sample problem. in simultaneous equation system estimation
关键词：Instrumental Variables; Minimum Distance; Semiparametric Efficiency; ;Two-Stage Least Squares