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Title:Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments PDF Logo
Authors:Swanson, Norman R.
Chao, John C.
Issue Date:2003
Series/Report no.:Working papers / Rutgers University, Department of Economics 2003,12
Abstract:This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983), Bekker (1994), Angrist and Krueger (1995), Donald and Newey (2001), Hahn, Hausman, and Kuersteiner (2001), and Stock and Yogo (2003).
Subjects:CLT for bilinear forms
instrumental variables
k-class estimator
local-to-zero framework
pathwise asymptotics
weak instruments
JEL:C13
C31
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, Rutgers University

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