Choosing the optimal set of instruments from large instrument sets

DOI10.1016/J.CSDA.2005.12.022zbMath1157.62567OpenAlexW2041585950MaRDI QIDQ1010397

George Kapetanios

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/62864

zbMATH Keywords

simulated annealinggenetic algorithmsinstrumental variablesMSE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Approximation methods and heuristics in mathematical programming (90C59) Applications of statistics (62P99)

Related Items (1)

Factor-GMM estimation with large sets of possibly weak instruments

Uses Software

• PcGets

Cites Work

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• Global optimization of statistical functions with simulated annealing
• Cluster analysis of panel data sets using non-standard optimisation of information criteria
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Cooling Schedules for Optimal Annealing
• On the Convergence and Applications of Generalized Simulated Annealing
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Choosing the Number of Instruments
• Computer automation of general-to-specific model selection procedures

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