economic effects of these decisions. Optimal instruments are conditional expectations; and in developing the IV results, we …We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal … instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the …

economic effects of these decisions. Optimal instruments are conditional expectations; and in developing the IV results, we …We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal … instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the …

methods to get reliable estimates for the NKPC. Keywords: Inflation dynamics, Phillips Curve, Weak Instruments, Optimal … Instruments JEL-Codes: E31; C13; C52 ∗ I would like to thank Jean-Marie Dufour for many helpful conversations and suggestions. I …

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … estimator, and usually more efficient. The form of our optimal instruments resembles that from Newey (1990), but involves … Newey’s. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments …

both N and T are large. A simulation study is conducted to assess the estimator. Keywords: panel AR(p) models, the optimal … instruments, the backward or- thogonal deviation. JEL classification: C13, C23. ∗ E-mail : em031112@ yahoo.co.jp (Remove the space … + ···+ v iT )/(T − t)], and c 2 t =(T − t)/(T − t + 1). 2.2 The instrumental variable estimators The infeasible optimal …