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.

Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments

MARCELLINO, MASSIMILIANO;
2010

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.
2010
Marcellino, Massimiliano; G., Kapetanios
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3719029
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