Matthew Harding, Carlos Lamarche, Chris Muris
arXiv 6 Mar 2022 · Econometrics · 1 citations (OpenAlex)
arXiv:2203.03051 · PDF · DOI · OpenAlex · Extracted main text
In many longitudinal settings, economic theory does not guide practitioners on the type of restrictions that must be imposed to solve the rotational indeterminacy of factor-augmented linear models. We study this problem and offer several novel results on identification using internally generated instruments. We propose a new class of estimators and establish large sample results using recent developments on clustered samples and high-dimensional models. We carry out simulation studies which show that the proposed approaches improve the performance of existing methods on the estimation of unknown factors. Lastly, we consider three empirical applications using administrative data of students clustered in different subjects in elementary school, high school and college.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Heaton and Solo (2012) Estimation of high-dimensional linear factor models with grouped variables | 1.000 | 6 | 4 | 100% |
| 2 | Pesaran (2006) Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | 1.000 | 6 | 3 | 100% |
| 3 | Chen, Jacho-Chávez, and Linton (2016) Averaging of An Increasing Number of Moment Condition Estimators | 0.974 | 13 | 3 | 92% |
| 4 | Bai and Ng (2013) Principal components estimation and identification of static factors | 0.928 | 4 | 3 | 100% |
| 5 | Madansky (1964) Instrumental variables in factor analysis | 0.928 | 4 | 3 | 100% |
| 6 | Hansen and Lee (2019) Asymptotic theory for clustered samples | 0.888 | 10 | 3 | 70% |
| 7 | Belloni, Chen, Chernozhukov, and Hansen (2012) Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain | 0.843 | 15 | 4 | 60% |
| 8 | Windmeijer, Farbmacher, Davies, and Smith (2019) On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments | 0.843 | 3 | 3 | 100% |
| 9 | Heckman and Scheinkman (1987) The Importance of Bundling in a Gorman-Lancaster Model of Earnings | 0.843 | 3 | 3 | 100% |
| 10 | Pudney (1981) Instrumental Variable Estimation of a Characteristics Model of Demand | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 60 scored citations.