Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection

DOI10.1016/J.ECONLET.2009.06.009MaRDI QIDQ1046261zbMATH 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.2009.06.009

zbMATH Keywords

contemporaneous canonical correlationsinstrument selectionlong run canonical correlationstwo-stage least squares

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to economics (62P20)

Recommendations

• Inference about long run canonical correlations
• Canonical Cointegrating Regressions
• Fixed effects instrumental variables estimation in correlated random coefficient panel data models
• Tests for Cointegration Based on Canonical Correlation Analysis
• Canonical correlation analysis and reduced rank regression in autoregressive models
• Instrumental variables estimation of stationary and non‐stationary cointegrating regressions

Cites work

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

Cited in

(3)

• A comparative study of three data-based methods of instrument selection
• A Consistent Method for the Selection of Relevant Instruments
• Judging Instrument Relevance in Instrumental Variables Estimation

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