Selecting Instrumental Variables in a Data Rich Environment

DOI10.2202/1941-1928.1014zbMath1266.62041OpenAlexW2160536969MaRDI QIDQ4928511

Jushan Bai, Serena Ng

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1014

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Statistical ranking and selection procedures (62F07)

Related Items (7)

Cross-Sectional Dependence in Panel Data Analysis ⋮ Instrument selection for estimation of a forward-looking Phillips curve ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Ill-posed estimation in high-dimensional models with instrumental variables ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ Instrumental variables estimation with many weak instruments using regularized JIVE ⋮ High-dimensional linear models with many endogenous variables

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