Instrument selection for estimation of a forward-looking Phillips curve

DOI10.1016/J.ECONLET.2016.05.032MaRDI QIDQ1670180zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model selectionshrinkageinstruments

Mathematics Subject Classification ID

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

Recommendations

• A Consistent Method for the Selection of Relevant Instruments
• Identifying modern macro equations with old shocks
• Selecting instrumental variables in a data rich environment
• A comparative study of three data-based methods of instrument selection
• Selecting the Best Instrumental Variables Estimator

Cites work

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

Cited in

(1)

• Identifying modern macro equations with old shocks

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