A comparative study of three data-based methods of instrument selection

DOI10.1016/j.econlet.2009.08.022zbMath1190.62197OpenAlexW1966612227MaRDI QIDQ1046302

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.2009.08.022

zbMATH Keywords

two-stage least squaresinstrument selectionapproximate mean square error criterioncanonical correlations information criterionrelevant moments selection criterion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (1)

Linear instrumental variables model averaging estimation

Cites Work

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

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