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We consider the following problem. There is a structural equation of interest that contains an explanatory variable that theory predicts is endogenous. There are one or more instrumental variables tha...
Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
Bias reduction Weak instruments Panel data
2011/4/2
We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obt...