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Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection

In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.
Year of publication:
2009
Authors: Eryuruk, Gunce ; Hall, Alastair R. ; Jana, Kalidas
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 1, p. 83-85
Publisher: Elsevier
Keywords: Contemporaneous canonical correlations Long run canonical correlations Instrument selection Two-stage least squares
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005023511
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