Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60807 
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dc.contributor.authorGroen, Jan J. J.en
dc.contributor.authorKapetanios, Georgeen
dc.date.accessioned2010-05-06-
dc.date.accessioned2012-08-17T14:33:48Z-
dc.date.available2012-08-17T14:33:48Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/60807-
dc.description.abstractWe suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense, our method is equivalent to instrumental variables estimation that is based on principal components. However, even if the factor structure is weak or nonexistent, our method, unlike the principal components approach, still yields consistent estimates. Indeed, simulations indicate that our approach always dominates standard instrumental variables estimation, regardless of whether the factor relationship underlying the set of instruments is strong, weak, or absent.en
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x386en
dc.subject.jelC30en
dc.subject.jelC59en
dc.subject.jelC13en
dc.subject.ddc330en
dc.subject.keywordInstrumental variables estimationen
dc.subject.keywordmany instrumentsen
dc.subject.keywordfactor modelsen
dc.titleParsimonious estimation with many instruments-
dc.typeWorking Paperen
dc.identifier.ppn622766716en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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