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Data mining and the selection of instruments

Hall, Alastair R.; Peixe, Fernanda P. M. - In: The journal of economic methodology 7 (2000) 2, pp. 265-278

Persistent link: https://www.econbiz.de/10001503149

Covariance matrix estimatioon and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability

Hall, Alastair R.; Inoue, Atsushi; Peixe, Fernanda P. M. - In: Econometric theory 19 (2003) 6, pp. 962-983

Persistent link: https://www.econbiz.de/10001818930

A consistent method for the selection of relevant instruments

Hall, Alastair R.; Peixe, Fernanda P. M. - In: Econometric reviews 22 (2003) 3, pp. 269-287

Persistent link: https://www.econbiz.de/10001786922

The mean squared error of the instrumental variables estimator when the disturbance has an elliptical distribution

Peixe, Fernanda P. M.; Hall, Alastair R.; Kyriakoulis, … - In: Econometric reviews 25 (2006) 1, pp. 117-138

Persistent link: https://www.econbiz.de/10003309365

A Consistent Method for the Selection of Relevant Instruments

Hall, Alastair R.; Peixe, Fernanda P. M. - In: Econometric Reviews 22 (2003) 3, pp. 269-287

In many applications, a researcher must select an instrument vector from a candidate set of instruments. If the ultimate objective is to perform inference about the unknown parameters using conventional asymptotic theory, then we argue that it is desirable for the chosen instrument vector to...

Persistent link: https://www.econbiz.de/10009279882