Judging Instrument Relevance in Instrumental Variables Estimation

DOI10.2307/2527324MaRDI QIDQ4889511zbMATH OpenOpenAlexFDO

Authors Alastair Hall, Glenn D. Rudebusch, David W. Wilcox

Publication date 9 January 1997

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527324

zbMATH Keywords

simulation resultscanonical correlationsinstrumental variables estimationfinite-sample performancegeneral multiple-instrument-multiple-regressor case

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(24)

• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Measuring instrument relevance in the single endogenous regressor--multiple instrument case: a simplifying procedure.
• Structural Equation Model Averaging: Methodology and Application
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Information in generalized method of moments estimation and entropy-based moment selection
• Cross-sectional averaging and instrumental variable estimation with many weak instruments
• Efficiency in public schools: does competition matter?
• Efficient forecast tests for conditional policy forecasts
• Two-Stage Bayesian Model Averaging in Endogenous Variable Models
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Entropy-Based Moment Selection in the Presence of Weak Identification
• A naïve sticky information model of households' inflation expectations
• Instrument endogeneity and identification-robust tests: some analytical results
• On instrumental variable estimation of semiparametric dynamic panel data models.
• Conditional inference for possibly unidentified structural equations
• Linear model IV estimation when instruments are many or weak
• A Consistent Method for the Selection of Relevant Instruments
• One instrument to rule them all: the bias and coverage of just-ID IV
• Inference about long run canonical correlations
• Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares
• Assessing the magnitude of the concentration parameter in a simultaneous equations model
• Cross-section bootstrap for CCE regressions
• Clean air regulation and heterogeneity in US gasoline prices

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