On adding over-identifying instrumental variables to simultaneous equations
Reducing the number of over-identifying instruments, or adding them to a structural equation, increases estimation dispersion. Added instruments should be insignificant under correct specification, with parameter estimates nearly unaffected, confirmed by Monte Carlo. Selecting instruments does not affect these results.
Year of publication: |
2011
|
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Authors: | Hendry, David F. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 1, p. 68-70
|
Publisher: |
Elsevier |
Keywords: | Instrumental variables Model selection Monte Carlo simulation |
Saved in:
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