Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection

DOI10.1016/j.econlet.2009.06.009zbMath1181.62093OpenAlexW2164246365MaRDI QIDQ1046261

Alastair R. Hall, Gunce Eryuruk, Kalidas Jana

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.06.009

zbMATH Keywords

two-stage least squareslong run canonical correlationscontemporaneous canonical correlationsinstrument selection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Information in generalized method of moments estimation and entropy-based moment selection
• A Consistent Method for the Selection of Relevant Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

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