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In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.
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We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.
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Rivers and Vuong (2002) develop a very general framework for choosing between two competing dynamic models. Within their framework, inference is based on a statistic that compares measures of goodness of fit between the two models. The null hypothesis is that the models have equal measures of...
Persistent link: https://www.econbiz.de/10005802104
We analyze the limiting distribution of the Rivers and Vuong (2002, <italic>Econometrics Journal</italic> 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the...
Persistent link: https://www.econbiz.de/10009002922
The Wishart distribution has long been a useful tool for modeling covariance structures. According to Gyndikin’s theorem, the degrees of freedom (df) for a Wishart distribution can be any real number belonging to the Gyndikin set, either integer-valued or fractional. However, the fractional-df...
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If data series are not filtered properly prior to the construction of a test of causality, the resulting test statistics are invalid This article,describes a general approach to data filtering based on the estimation of autoregressive-moving-average models and on specific tests for the...
Persistent link: https://www.econbiz.de/10010919752
The likelihood function of a seasonal model, Y_t = ρY_t - d + e_t as implemented in computer algorithms under the assumption of stationary initial conditions is a function of ρ which is zero at the point ρ = 1. It is a smooth function for ρ in the above seasonal model with a well-defined...
Persistent link: https://www.econbiz.de/10005315163