Citation:
Abutaliev, Albert and Anatolyev, Stanislav (2013) "Asymptotic variance under many instruments: numerical computations", Economics Letters, vol. 118, no. 2, pp. 272-274
Abstract:
In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the traditional variance, one term is due to instrument numerosity, and the last two appear if the model errors are non-normal. For a stylized instrumental variables model, we compute numerical values of these components to uncover how the four components are related to each other in magnitude.
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