Instrument selection for estimation of a forward-looking Phillips curve

DOI10.1016/J.ECONLET.2016.05.032zbMATH Open1400.62313OpenAlexW2412061053MaRDI QIDQ1670180FDOQ1670180

Authors: Tiago Berriel, Marcelo C. Medeiros, Marcelo J. Sena 

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.05.032

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zbMATH Keywords

model selectionshrinkageinstruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Model Selection and Estimation in Regression with Grouped Variables
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Regularized LIML for many instruments
• Selecting instrumental variables in a data rich environment

Cited In (1)

• Identifying modern macro equations with old shocks

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