Judge, George G.; Mittelhammer, Ron C. - In: 30th anniversary edition, (pp. 237-255). 2012
In the context of competing IV econometric models and estimators, we demonstrate a semiparametric Stein-like estimator (SSLE) that, under quadratic loss, has superior risk performance. The method eliminates the need for pretesting to decide whether covariate endogeneity is present and makes use...