Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection

Gunce Eryuruk, Alastair R. Hall and Kalidas Jana

Economics Letters, 2009, vol. 105, issue 1, pages 83-85

Abstract: In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.

Keywords: Contemporaneous; canonical; correlations; Long; run; canonical; correlations; Instrument; selection; Two-stage; least; squares (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:1:p:83-85

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