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

Gunce Eryuruk, Alastair Hall and Kalidas Jana

Economics Letters, 2009, vol. 105, issue 3, 280-283

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.

Keywords: Instrument; selection; Canonical; Correlations; Information; Criterion; Relevant; Moments; Selection; Criterion; Approximate; Mean; Square; Error; Criterion; Two-stage; least; squares (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00282-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:3:p:280-283

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().