construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …

deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …