On adding over-identifying instrumental variables to simultaneous equations

David Hendry

Economics Letters, 2011, vol. 111, issue 1, 68-70

Abstract: Reducing the number of over-identifying instruments, or adding them to a structural equation, increases estimation dispersion. Added instruments should be insignificant under correct specification, with parameter estimates nearly unaffected, confirmed by Monte Carlo. Selecting instruments does not affect these results.

Keywords: Instrumental; variables; Model; selection; Monte; Carlo; simulation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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