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

Gunce Eryuruk; Alastair R. Hall; Kalidas Jana

doi:10.1016/j.econlet.2009.08.022

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

Gunce Eryuruk, Alastair R. Hall, Kalidas Jana

Economics

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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 language	English
Pages (from-to)	280-283
Number of pages	3
Journal	Economics Letters
Volume	105
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2009.08.022
Publication status	Published - 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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title = "A comparative study of three data-based methods of instrument selection",

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. {\textcopyright} 2009 Elsevier B.V. All rights reserved.",

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KW - Canonical Correlations Information Criterion

KW - Instrument selection

KW - Relevant Moments Selection Criterion

KW - Two-stage least squares

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

Abstract

Keywords

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