A Consistent Method for the Selection of Relevant Instruments
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Recommendations
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
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- Choosing the Number of Instruments
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- A comparative study of three data-based methods of instrument selection
Cites work
- A new look at the statistical model identification
- Choosing the Number of Instruments
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Estimating the dimension of a model
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- scientific article; zbMATH DE number 3980333 (Why is no real title available?)
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Ordering univariate distributions by entropy and variance
- Redundancy of moment conditions
- The Estimation of Economic Relationships using Instrumental Variables
- The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
Cited in
(35)- Choosing the optimal set of instruments from large instrument sets
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
- A comparative study of three data-based methods of instrument selection
- Linear instrumental variables model averaging estimation
- Instrument selection for estimation of a forward-looking Phillips curve
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Consistent estimation of linear panel data models with measurement error
- The optimal choice of moments in dynamic panel data models
- Is time preference different across incomes and countries?
- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
- Information in generalized method of moments estimation and entropy-based moment selection
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Improved generalized method of moments estimators for weakly dependent observations
- Econometric estimation with high-dimensional moment equalities
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Choosing the Number of Instruments
- Judging Instrument Relevance in Instrumental Variables Estimation
- Selecting instrumental variables in a data rich environment
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
- A bootstrap approach to moment selection
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Measuring instrument relevance in the single endogenous regressor--multiple instrument case: a simplifying procedure.
- Nonparametric instrument model averaging
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Structural Equation Model Averaging: Methodology and Application
- Relevant moment selection under mixed identification strength
- Higher-order approximation of IV estimators with invalid instruments
- Instrumental variable estimation in the presence of many moment conditions
- Testing endogeneity with high dimensional covariates
- Instrument endogeneity and identification-robust tests: some analytical results
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