Bootstrap-based Selection for Instrumental Variables Model
Wenjie Wang () and
Qingfeng Liu ()
Economics Bulletin, 2015, vol. 35, issue 3, 1886-1896
This paper develops bootstrap-based method for addressing the â€œmany instrumentsâ€ problem in the context of instrumental variable estimation. We propose a plug-in restricted-efficient-residual-based (plug-in RE) bootstrap for choosing optimal number of instruments used for two-stage least squares (TSLS) and limited information maximum likelihood (LIML) estimator. In Monte Carlo experiments, we find that the instrument choice based on our plug-in RE bootstrap generally yields an improvement in finite sample performance.
Keywords: Instrument selection; Many instruments; Bootstrap; TSLS; LIML (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-15-00384
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