Instrumental variables estimation is widely applied in econometrics. To implement the method, it is necessary to specify a vector of instruments. In this paper, it is argued that there are compelling reasons to use the data for instrument selection, but that it is desirable to ensure the...

This paper generalizes Nagar's (1959) approximation to the finite sample mean squared error (MSE) of the instrumental variables (IV) estimator to the case in which the errors possess an elliptical distribution whose moments exist up to infinite order. This allows for types of excess kurtosis...

We propose a new Information Criterion for Impulse Response Function Matching estimators of the parameters of a structural model based on classical Minimum Distance estimation. The advantages of our procedure are that: (i) it improves the efficiency of the estimates of the model's deep...

We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...

The recognition that policies aimed at “getting prices right” in less developed countries werefailing due to incomplete markets has spurred a new wave of reforms, directed instead at“getting markets and institutions right”. Although previous studies have documented thepotentially crucial...

We propose a new Information Criterion for Impulse Response Function Matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters,...

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model with multiple structural breaks obtained by minimizing a Two Stage Least Squares (2SLS) objective function. Our analysis covers both the case in which the reduced form for the...