Judging Instrument Relevance in Instrumental Variables Estimation
DOI10.2307/2527324zbMATH Open0853.62092OpenAlexW1528134887MaRDI QIDQ4889511FDOQ4889511
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
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simulation resultscanonical correlationsinstrumental variables estimationfinite-sample performancegeneral multiple-instrument-multiple-regressor case
Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cited In (24)
- Measuring instrument relevance in the single endogenous regressor--multiple instrument case: a simplifying procedure.
- Structural Equation Model Averaging: Methodology and Application
- CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS
- 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
- Two-Stage Bayesian Model Averaging in Endogenous Variable Models
- Efficiency in public schools: does competition matter?
- Efficient forecast tests for conditional policy forecasts
- 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.
- One instrument to rule them all: the bias and coverage of just-ID IV
- Inference about long run canonical correlations
- A Consistent Method for the Selection of Relevant Instruments
- Linear model IV estimation when instruments are many or weak
- 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
- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
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