“Many instruments and/or regressors” by Stanislav Anatolyev
New Economic School
This is a survey of econometric literatures on many instruments and many regressors. We review (alternative) asymptotic tools that are suitable for accounting for numerosity of instruments in linear instrumental variables regressions or numerosity of regressors in linear regression models. We show the results of application of these asymptotic tools, starting from a simplest setup and then proceeding to more complex models featuring, in particular, error non-normality, heteroskedasticity, weak instruments and so on. We also touch upon some other extensions and some adjacent themes.