Choosing the optimal set of instruments from large instrument sets

DOI10.1016/J.CSDA.2005.12.022MaRDI QIDQ1010397zbMATH OpenOpenAlexFDO

Authors George Kapetanios

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/62864

zbMATH Keywords

simulated annealinginstrumental variablesgenetic algorithmsMSE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Applications of statistics (62P99) Approximation methods and heuristics in mathematical programming (90C59)

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• Choosing the Number of Instruments
• Constructing optimal instruments by first-stage prediction averaging
• Choosing instrumental variables in conditional moment restriction models
• A Consistent Method for the Selection of Relevant Instruments
• Selecting instrumental variables in a data rich environment

Cites work

• scientific article; zbMATH DE number 3900015 (Why is no real title available?)
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Choosing the Number of Instruments
• Cluster analysis of panel data sets using non-standard optimisation of information criteria
• Computer automation of general-to-specific model selection procedures
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Cooling Schedules for Optimal Annealing
• Global optimization of statistical functions with simulated annealing
• On the Convergence and Applications of Generalized Simulated Annealing
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

Cited in

(5)

• Selecting instrumental variables in a data rich environment
• Choosing the Number of Instruments
• A comparative study of three data-based methods of instrument selection
• Factor-GMM estimation with large sets of possibly weak instruments
• Constructing optimal instruments by first-stage prediction averaging

Describes a project that uses

Uses Software

• PcGets

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