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

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.

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Year of publication:	2009
Authors:	Eryuruk, Gunce ; Hall, Alastair R. ; Jana, Kalidas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 3, p. 280-283
Publisher:	Elsevier
Keywords:	Instrument selection Canonical Correlations Information Criterion Relevant Moments Selection Criterion Approximate Mean Square Error Criterion Two-stage least squares

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474074