On adding over-identifying instrumental variables to simultaneous equations

DOI10.1016/J.ECONLET.2011.01.009MaRDI QIDQ533939zbMATH OpenOpenAlexFDO

Authors David F. Hendry

Publication date 10 May 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.01.009

zbMATH Keywords

model selectioninstrumental variablesMonte Carlo simulation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)

Recommendations

• Sensitivity Analysis for Instrumental Variables Regression With Overidentifying Restrictions
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• The overdetermined recursive instrumental variable method
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Instrumental variable and variable addition based inference in predictive regressions

Cites work

• scientific article; zbMATH DE number 5984104 (Why is no real title available?)
• scientific article; zbMATH DE number 6811479 (Why is no real title available?)
• Automatic selection of indicators in a fully saturated regression
• Evaluating automatic model selection

Cited in

(3)

• Misspecification testing: non-invariance of expectations models of inflation
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Discriminating between (in)valid external instruments and (in)valid exclusion restrictions

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