Constructing Optimal Instruments by First-Stage Prediction Averaging
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Publication:3564695
DOI10.3982/ECTA7444zbMath1187.62197OpenAlexW1521448748MaRDI QIDQ3564695
Guido M. Kuersteiner, Ryo Okui
Publication date: 26 May 2010
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta7444
instrumental variablemodel averagingLIMLmany instrumentstwo-stage least squareshigher order theoryFuller's estimator
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)
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