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

Research output: Contribution to journal › Article › peer-review

77 Downloads (Pure)

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

Access to Document

10.1016/j.econlet.2009.08.022

POST-PEER-REVIEW-NON-PUBLISHERS-DOCUMENT.PDFAccepted author manuscript, 143 KB

Cite this

@article{f06cbab896d54472a33c7d1171a3e7e0,

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.",

keywords = "Approximate Mean Square Error Criterion, Canonical Correlations Information Criterion, Instrument selection, Relevant Moments Selection Criterion, Two-stage least squares",

author = "Gunce Eryuruk and Hall, \{Alastair R.\} and Kalidas Jana",

year = "2009",

month = dec,

doi = "10.1016/j.econlet.2009.08.022",

language = "English",

volume = "105",

pages = "280--283",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier BV",

number = "3",

}

TY - JOUR

T1 - A comparative study of three data-based methods of instrument selection

AU - Eryuruk, Gunce

AU - Hall, Alastair R.

AU - Jana, Kalidas

PY - 2009/12

Y1 - 2009/12

N2 - 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.

AB - 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.

KW - Approximate Mean Square Error Criterion

KW - Canonical Correlations Information Criterion

KW - Instrument selection

KW - Relevant Moments Selection Criterion

KW - Two-stage least squares

U2 - 10.1016/j.econlet.2009.08.022

DO - 10.1016/j.econlet.2009.08.022

M3 - Article

SN - 0165-1765

VL - 105

SP - 280

EP - 283

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

Keywords

Access to Document

Fingerprint

Cite this