Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
A Consistent Method for the Selection of Relevant Instruments - MaRDI portal

A Consistent Method for the Selection of Relevant Instruments

From MaRDI portal
Publication:4414351

DOI10.1081/ETC-120024752zbMath1181.62192MaRDI QIDQ4414351

Fernanda P. M. Peixe, Alastair R. Hall

Publication date: 24 July 2003

Published in: Econometric Reviews (Search for Journal in Brave)




Related Items

GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data modelAlternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correctionInformation in generalized method of moments estimation and entropy-based moment selectionFurther results on projection-based inference in IV regressions with weak, collinear or missing instrumentsLinear instrumental variables model averaging estimationThe Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical DistributionThe optimal choice of moments in dynamic panel data modelsEconometric estimation with high-dimensional moment equalitiesUsing invalid instruments on purpose: focused moment selection and averaging for GMMConsistent estimation of linear panel data models with measurement errorIs time preference different across incomes and countries?Nonparametric instrument model averagingEntropy-Based Moment Selection in the Presence of Weak IdentificationInstrument endogeneity and identification-robust tests: some analytical resultsMODEL SELECTION AND INFERENCE: FACTS AND FICTIONSelect the valid and relevant moments: an information-based Lasso for GMM with many momentsTesting Endogeneity with High Dimensional CovariatesInstrumental variable estimation in the presence of many moment conditionsA bootstrap approach to moment selectionInstrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of InstrumentsContemporaneous and long run canonical correlations in the linear IV model: implications for instrument selectionA comparative study of three data-based methods of instrument selectionImproved generalized method of moments estimators for weakly dependent observationsModeling the interdependence of volatility and inter-transaction duration processes.An augmented Anderson–Hsiao estimator for dynamic short-T panels



Cites Work