On adding over-identifying instrumental variables to simultaneous equations
AbstractReducing 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 111 (2011)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
Instrumental variables Model selection Monte Carlo simulation;
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