Choosing the optimal set of instruments from large instrument sets

DOI10.1016/J.CSDA.2005.12.022zbMATH Open1157.62567OpenAlexW2041585950MaRDI QIDQ1010397FDOQ1010397

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

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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)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Title not available (Why is that?)
• Choosing the Number of Instruments
• Global optimization of statistical functions with simulated annealing
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Title not available (Why is that?)
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Cooling Schedules for Optimal Annealing
• Computer automation of general-to-specific model selection procedures
• On the Convergence and Applications of Generalized Simulated Annealing
• Cluster analysis of panel data sets using non-standard optimisation of information criteria

Cited In (4)

• 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

Uses Software

• PcGets

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