Selecting the Best Instrumental Variables Estimator
Michael A. Magdalinos
The Review of Economic Studies, 1985, vol. 52, issue 3, 473-485
Abstract:
This paper considers the problem of finding the "best" estimator among a class that includes most of the commonly used limited information estimators in simultaneous equation systems. Concentration comparisons, based on the Edgeworth expansion of the distribution of these estimators, lead to selection rules of sufficient simplicity to be useful in applied econometric research.
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:52:y:1985:i:3:p:473-485.
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