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

DOI10.1016/J.ECONLET.2009.08.022MaRDI QIDQ1046302zbMATH OpenOpenAlexFDO

Authors Gunce Eryuruk, Alastair Hall, 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

approximate mean square error criterioncanonical correlations information criterioninstrument selectionrelevant moments selection criteriontwo-stage least squares

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(4)

• Linear instrumental variables model averaging estimation
• Instrument selection for estimation of a forward-looking Phillips curve
• Selecting the Best Instrumental Variables Estimator
• A Consistent Method for the Selection of Relevant Instruments

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