A comparative study of three data-based methods of instrument selection

Gunce Eryuruk, Alastair R. Hall, Kalidas Jana

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Abstract

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates. © 2009 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)280-283
Number of pages3
JournalEconomics Letters
Volume105
Issue number3
DOIs
Publication statusPublished - Dec 2009

Keywords

  • Approximate Mean Square Error Criterion
  • Canonical Correlations Information Criterion
  • Instrument selection
  • Relevant Moments Selection Criterion
  • Two-stage least squares

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