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

Eryuruk, Gunce; Hall, Alastair R.; Jana, Kalidas - In: Economics letters 105 (2009) 1, pp. 83-85

Persistent link: https://www.econbiz.de/10003899373

Information in generalized method of moments estimation and entropy-based moment selection

Hall, Alastair R.; Inoue, Atsushi; Jana, Kalidas; Shin, … - In: Journal of econometrics 138 (2007) 2, pp. 488-512

Persistent link: https://www.econbiz.de/10003464282

A comparative study of three data-based methods of instrument selection

Eryuruk, Gunce; Hall, Alastair R.; Jana, Kalidas - In: Economics letters 105 (2009) 3, pp. 280-283

Persistent link: https://www.econbiz.de/10003931080

Long Run Canonical Correlations : Estimation and Inference

Dovonon, Prosper - 2009

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

Persistent link: https://www.econbiz.de/10013155084